Yes, you should use another working Arduino as a programmer to burn the bootloader on a Mega 2560. The example sketch ArduinoISP makes an Arduino a programmer. Inside the sketch are plenty of details about how it is used, plus there are tutorials online you can find. The ISP pins are on the ICSP header next to the main processor, the male pins arranged in 2 rows of 3 pins. On the Tools menu choose the programmer type "Arduino as ISP".