Mister multimeter: what are you telling me ?

What option should i use ( 200u, 2000u, 20m, 200m) if i use 20 on the voltage and i want to use the formula W=VxA ?
It seems to me that the measuring in itselfs alters the numbers. The brightness of the LED changes.
What is happening here ? How can i measure amperes ?

1/ LED hooked up to a battery. Multimeter placed in series to measure the current. (the LED seems to light up but this is reflection)

2/ I turn the multimeter to 200m, the LED lights up very brightly. On the display: 03,8

3/ Multimeter is turned to 20m, the LED lights up. On the display: 3,29

4/ Multimeter is turned to 2000u, the LED lights up. On the display: 1197

5/ Multimeter is turned to 200u, the LED lights up but not verry strong. On the display 1  .