the icon that looks sort of like a 'sound wave'
basically any of the settings in the resistance group can function as a contintuity tester. what your going to need to do is find the way that has the least resistance (lower the number the better) you might even get lucky and have the leds light up with the multimeter. so the bottom left one in the resistance section.
also, its not generally always true but (sometimes, more than 50% of the time, the small probe in the led is + and the big one is - )
also, one more thing. If it has round LED's, generally the flat spot is on the - (negative) side of the LED
I have also heard that you need a resistor to run a LED circuit... those black things are possibly the resistors, it may just fire up with a 6v battery, positive terminal on the striped wire, negative on the solid black one.