When you apply a load to the output of a transformer the output voltage will drop. This is because the transformer has an internal series resistance and impedance. So when you connect a load to the transformer you are effectively creating a potential divider network, a small proportion of the voltage will be dropped across the internal impedance.
The purpose of doing a short circuit and open circuit test is to find the values for the transformers internal impedances. To do the open circuit test open circuit the transformer and measure the output voltage, this is the no load voltage. Then short circuit the transformer output and gradually increase the voltage while measuring the current, when you get to the maximumrated current of your transformer stop increasing the voltage. Note the output voltage. Now we these three figures you can work out the internal impedances of the transformer. I'll post an equivalent cct diagram of a transformer in a bit so you can see more clearly what is going on.
What kind of transformer is it and what purpose is it being used for?