When you try to use a digital multimeter to test a capacitor, initially the multimeter may show a low resistance reading, then the reading will increase till the multimeter shows DC, this is because a capacitor is essentially an open-circuit as far as DC is concerned, when you measure resistance with a multimeter you are measuring pure resistance to DC (direct current), capacitors do exhibit resistance but it is resistance to AC (alternating current), AC resistance is totally different to DC resistance and is frequency dependent, this is basically how the capacitors in the tone controls of a guitar work to control how bright or dull the guitar sounds.
At very low frequencies, the AC resistance that a capacitor presents to them is very high, almost like an open circuit, now, as the frequency increases the AC resistance will become less and less and the capacitor will let more of the signal through it, the tone control pot gives us a way of controlling how much of the signal gets affected by the tone capacitor.