Why You Shouldn't measure HV on a multi-meter

Unfortunately this was my favorite meter. I was measuring the secondaries on a United Transformer Corporation CG-301 (round can). I thought the highest tap on there was 475v, from what I found online. Apparently it has one thats over 1500v too! My meter read 1500-something and then ZAP! (I taped the probes to 1' PVC tubes so I didn't have my hands near it HI - WEIRD stuff, even a couple hunderd volts).