The standard schematic for connecting things is right there in the datasheet for the MAX7219.
That leaves you with three lines that go to your Arduino: Clock, Data In and Load Data.
If you look for libraries for the MAX7219 for Arduino, you will find several results. With most of these, there will be example code that will also show you how to connect those three lines to your Arduino.
Do you want the 2560 to do anything else that controlling those few digits? Because an Arduino Nano would be more than sufficient for that task...