Capacitor- If you are testing that it not internally shorted you can do a simple resistance test and look for the meter to max out on the reading as a good sign. If you want to know the capacitance then you need a meter that can do that. It is usually a dial setting that looks like a capacitor. Again attach the leads and it will tell you the capacitance within tolerance(as long as you are in its range).
Rectifier- Switch dial to diode mode and place leads across the diode. One direction will indicate overload and the other polarity will show you the threshold voltage for your rectifier.
Transistor- Depends on your meter, some have a spot that you insert the leads right into and it will tell you if the device is good.