There's different kinds, all called "fuse links" or "fusible links". Plug-in cartridge types have a clear plastic window. A blown one will look different than the others and will often be black. If you can't tell by looking at them, you can unplug or unbolt them and test them with an ohm meter.
Fuse link wires look like regular wires but they will be a short spliced-in length that is a different color and smaller diameter than the circuit it protects. Test those by tugging on them. If they're okay, they'll act like a piece of wire. If they're burned open, they'll act like a rubber band.
Voltage reading in dead circuits can be misleading with open wire-type fuse links because the carbon trail left behind inside the insulation can easily conduct enough current for a digital voltmeter to pick it up as a "good" circuit. A test light will give more accurate test results because those carbon tracks can't pass enough current to light the test light.