Anthony,
Think of a diode as a one way valve. The hydraulic anlogy would be that the valve will only let the fluid, in this case electricity, flow one way but not the other. One use of a diode is to rectify AC to, what is known as half wave, DC. Four diodes wired together a certain way will give you a rectifier. This will give you full DC voltage. A full bridge rectifier is used in a circuit in a DC power supply. If I remember correctly a diode will drop .7 volt.
Yes, you can used the diode position to find the correct wire out of the three.
Individual components should all be check "out of circuit" if possible. Reason being there might be another path connected with the component that you want to check.
When using resistors in circuits you also need to consider the wattage of the resistor. Common wattges are 1/8W, 1/4w, 1/2W, 1W and so on up. I don't know how high they go.
Yes, the green scale will tell you the resistance. Try it out by checking a couple of resistors. I've uploaded a convenient resistor chart. Copy it and print it out.

When checking any value of voltage or current always set the meter to the highest setting if the voltage is unknow to you. Lets say you want to check the voltage of a transformer that is a step up transformer, in other words you put in 120volts and it doubles it to 240volts. Set the meter to at least the next higher setting. In your meter's case it would be 700volts since the 200 setting would not be high enough.
When checking amperage the meter actually needs to be put "into" the line. In other words you need to connect the meter with the current flowing through the meter. This is best learned by working with a 12 volt power supply.
Let me see if I can find a diagram or draw one up on how this is done.
Bernd