Use the manual shutoff to turn off the gas. The shutoff valve is a knob that can be found on the water heater with options that include "on", "off" and "pilot."
Disconnect the thermocouple from the gas valve with an adjustable wrench. Do not disconnect the end of the thermocouple near the burner.
Perform an open circuit test on the thermocouple. To do this, place one multimeter test lead on the end that attaches to the gas valve and the other test lead on the thermocouple's side. Use a lighter at the end of the thermocouple near the pilot and keep the lighter ignited to read the millivolts on the multimeter. A reading of 25 to 30 millivolts is appropriate for a water heater, and a reading of less than 20 millivolts indicates that the thermocouple is not functioning properly and must be replaced.
Perform a resistance test on the thermocouple by selecting the ohms reading on the multimeter. The multimeter should provide a small resistance reading if the thermocouple is working properly and will display a reading of "OL" if it needs to be replaced. Furthermore, a high-resistance reading of 40 ohms or more also dictates that the thermocouple should be replaced.
Perform a closed circuit test to be sure that the thermocouple functions properly when in use. Begin by attaching a thermocouple adapter to where the thermocouple connects to the gas valve and then attach the thermocouple to the adapter. Attach two crocodile clips, one to the side of the thermocouple and the other to the screw on the side of the adapter. Turn on the water heater by turning the shut off valve to "pilot" and placing a match by the pilot and hold down the pilot button. If the thermocouple is functioning as it should, the reading on the multimeter will be between 14 and 20 millivolts; a reading outside this range means that the thermocouple no longer works.