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With a multimeter on diode test setting.
First test whether there is any short between Drain-Source, this should indicate an open circuit unless there is an internal protection diode which usually measures 0.6V.
Second, test all ther combinations for shorts, e.g. Drain-Gate, Gate-Source.
In case of a good mosfet, a voltage at the gate should produce a short (continuity actually) between Drain and Source. By touching the gate ao as to discharch or by connecting it to the Source pin so as to discharge it, the continuity between Drain-Source should disappear and you should measure nothing, open circuit. If the continuity remains then the mosfet is bad.