Using an Agilent Power supply as an active load
Most power supplies do not have "current sinking" capability.

When discussing this, we talk about the four quadrants of the I-V space:



Where the response curve of the supply is plotted with I on the x-axis and V on the y-axis. For example an ideal voltage supply would be characterised by a horizontal line at constant voltage, no matter what the current.

Most power supplies can operate only in the I quadrant. This means that current is going out of the more positive terminal of the supply. Some can also (or you can flip the leads to work in) the III quadrant. In these quadrants, the supply is delivering power to its load.

Only specially designed supplies can operate in the II and IV quadrants. These are called "4 quadrant supplies". An example of this is the BOP series supplies from Kepco.

There are also "electronic loads" designed to operate in the II and IV quadrants, such as the Agilent N6063B.

However, it's not obvious from what you said about the goals of your test that you couldn't simply connect a (or a combination of) power resistors to the supply being tested instead of spending a lot of money on an electronic load.