Are dimmer switches tested differently from a regular switch?
I have a brand new dimmer and do not get continuity in the
On position?
Thanks,
Bill

You won't. The solid state device inside (a triac) needs a gate signal in order to conduct.

Best test for a dimmer is remove switch from known good lights and try, Shouldn't wire hot. And don't test or use on more lights than it can handle.

I have a dimmer switch with a black wire a red wire and a yellow wire what goes where

I believe I have seen 3 way dimmers that have those three colors. This is not a dual dimmer?
I would try black and yellow or black and red, cap the unused for a single pole application.

Yep, it just changes the position of on. These might me the Decora versions with the toggle and the slider. If the switch position is wrong, use the other wire. I also agree, that black should be one of them and likely power in.