White LEDs probably are 3 volt. Most DMM are made to measure 0.7V so they probably don't make enough voltage to measure white LEDs.
With a bench power supply, you can set the current limit to (small) or 25mA and set the voltage so some thing over 3 volts. The voltage across the LED is vf.
If your supply does not have current limit then use a resistor to limit the current.
Example: If all you have is a 5V supply start out with a resistor that will only allow 25mA (more or less) when all 5 volts are across the resistor. This will give you a very safe way to see the forward voltage. Say vf=3V. Now that you know it is a 3VLED change the resistor so that 25mA flows with 2V across the resistor. Now measure the vf at 25mA.