How to get a variable voltage from a variable resistor
Start by figuring out exactly what you have for a resistor. I see that you have a multimeter. Disconnect the resistor from everything else. Now connect the meter to the red and black sockets. Measure the resistance. Vary the slider position. Does the resistance change? (Probably not). Assuming it doesn't, connect the meter to the white and black sockets. Now see if the resistance varies as you change the slider position (it probably does).

Assuming that red/black has constant resistance, and white/black varies, your resistor looks like







simulate this circuit &ndash; Schematic created using CircuitLab

If this is so, connect the + output of your supply to the red socket, the - output to the black socket, and get the variable voltage between the black and white sockets.

Also, remember the red/black resistance you found? That will affect how much current the supply will have to provide. If the resistance is 5 ohms, 5 volts across the resistor will require 1 amp. Your Thurby can only provide 2 amps, so if your resistor is less than 2.5 ohms you're out of luck.

You may be getting a low voltage if your "Current" knob is not turned all the way clockwise. See if that makes a difference. At any rate, always trust your meter rather than the power supply meters.