You've got the red meter lead plugged into the current ("A") socket of your DMM. You need to plug it into the one on the right with "V", etc.
A little more on this, the "A" socket is for measuring current, and there's a current shunt between that socket and the black socket that is a very, very low resistance component. As soon as you touched that red probe to a high voltage terminal, that current shunt will blow your fuse immediately.
You're still missing a wire on your 9 pin socket.
Since you are in the US, even if your line voltage is 120V and you wire for 110V mains, this isn't going to create immediate problems, so no worries there.