Loop Back Test - Sticky?

Is there a loop back test for the Arduino Mega 2560? I don't see a reset pin on it. My tx1 and rx0 are on two different sockets. Unfortunately rx0 is on the ftdi that I use to connect to my PC.

"Start your favourite terminal application. Serial Monitor will work fine."
What would be a terminal application and how do I monitor the Serial Monitor on the Mega 2560?

I also have a Arduino Uno that I uploaded a sketch to and I ran fine so I'm assuming it's working ok. Does this loop test tell me more about my Uno that I would like to know? I have a reset pin and a tx1 and rx0 on the Digital pins. But again, not to sound stupid but what would be a terminal program and how do you hook up a serial port to test with.