How to Connect this Crocodile Clips to my Multimeter?
My guess would be that the clip is intended to fit over the probe but it is being stopped from doing so by the plastic sheidling on the probe tip.

On some probes the plastic shielding on the tip is removable. It may be that you need to remove it to use the croc clip. It may also be that the vendor screwed up and shippped clips that were not compatible with the test leads.