Yourwins,
The 7812 is a 12V regulator with many transistors and resistors inside. A multimeter cannot measure if it regulates properly, but can tell only if it is shorted. I don't think that it can measure the difference of one that is blown open.
The best way to test it is when it is functioning with a proper input voltage and load.
...however, if your multimeter shows a short between any of the pins, you can stop there and know that the device is bad. In this case, you would have a bad result by testing the circuit with power applied.
I do a quick and dirty check by applying about 15vdc at the input and monitoring the output pin for 12vdc.. ;D
But without a load sometimes will give a false reading that drop when a load is connected..