First, I did connect it across the power rails. I did this because I asked if I should and someone told me (in this post) that that was how to do it.
Well I'm not going to go back and read through the whole thread.
It is possible that the person who said that made a mistake but it's more likely that they were telling you how to measure voltage, not current.
To measure voltage, you connect the meter across the power supply rails.
I will always measure in series from now on... thanks for the heads up.
That's right, for current, you need to put the meter in series with the device you're measuring the current consumption of.
Putting the meter in parallel will measure the short circuit current which will be very high and has probably blown the meter's fuse. You can test this by setting the meter to measure current and connecting the probes to another meter set to measure resistance. The Ohmmeter should measure near 0, if the fuse is good, otherwise it will be open circuit, indicating that the fuse is bad.
If you don't have another meter, you can remove the fuse from the meter and test it with the same meter set to resistance.
If the fuse is blown, you'll need to replace it with one of not only the same current rating but the same type. It's important to use the right kind of fuse, otherwise your meter won't be properly protected, if you're not sure, check the manual.