You can't test it unless it's powered. If you're lucky, you can get your voltmeter probes onto the pins in the three-pin connector while it's connected to the controller. If not, you need another way of getting 5v to the red(+) and black(-) wires. You can use a 5v phone or USB charger. Then you measure between the third wire and the black to see the changing voltage. If you want to test your controller, you can use a 10k potentiometer: The red and black pins to the outer two on the pot and the third(signal) wire to the middle pin on the pot. You have to turn it down to zero before the controller will respond because most controllers have this safety point programmed in.
As has been said, some throttles have LED lights and/or a switsc in them. Normally, the throttle wires will be three in a bunch, or look for the red and black wires and the one next to or between them. In some installations, the switch on the throttle disables it, so, if you have one, check that it's switched on.