Both a Megger and a Ground Test Set can have three leads. The three leads on the Megger are usually marked '+', 'G', and '-'. The 'G' is for the Guard terminal, which is used to remove losses from one component(such as the secondary winding of a transformer) when you are trying to get the losses to another component, such as ground, from the third componment (primary winding). The Megger will usually have an adjustable voltage control, as well as a range selector for the meter. The meter ranges will be in the kilo-, mega-, giga-, and/or tera-ohm range.
The leads on the Ground Test Set (and there may even be four) represent the connections for the three(or four)-point ground rod tests. The meter ranges will read in ohms, maybe down to the hundreths or thousands, but certainly no higher than hundreds.
First, make sure that you have the right instrument. What is it that you have?