Am not sure what meter you are using, what mode, or how you are using the test leads.
Ideally a "diode mode" should be used. It should indicate the conduction voltage through the diode. But the thing I fear you didn't understand is that a diode is only supposed to conduct in one direction. The question is whether yours are conducting in one direction, two directions, or neither.
Another concern is how your meter indicated "infinity". Am guessing it is "1L" or something like that? It will be whatever is displayed when the leads are not touching anything.
What you need to do is disconnect the harness so at least one end of each diode is connected to nothing. Then measure with your meter across each diode, both ways. Red on one side, black on other, then vice versa. One direction should conduct, the other not.
Diodes are almost always marked with a part number. Will also have a white stripe on one end. That is important to replace diode with white stripe oriented correctly.
Am guessing the diode will be of the 1N400x family, where x = 1 through 7. This is a very common 1 amp power diode. The last number indicates the reverse voltage rating. 1N4001 is rated 50V and probably good enough. Whatever you have can be replaced by anything with a higher voltage rating. So if it is a 1N4002 and Radio Shack only has 1N4007 then buy the 1N4007 and be happy!
1N4x general-purpose diodes - Wikipedia