In case anyone does a search on this I wanted to post the solution I found as it might be helpful:
What westfw said is absolutely correct (by the way thank you much for pointing this out to me!). A reply to my post on another website indicated the following:
For the ATmega2560:
There are 7 pins that need to be connected
*) TDI - JTAG9 - Pin 90 - PF7 ( ADC7/PCINT15 ) - Analog pin 7
*) TDO - JTAG3 - Pin 91 - PF6 ( ADC6/PCINT14 ) - Analog pin 6
*) TMS - JTAG5 - Pin 92 - PF5 ( ADC5/TMS ) - Analog pin 5
*) TCK - JTAG1 - Pin 93 - PF4 ( ADC4/TMK ) - Analog pin 4
*) GND - JTAG2, JTAG10 - Pin 11,32, 62, 81, or 99
*) VCC - JTAG4 - Pin 10, 31, 61, or 80
I did not connect - JTAG 6,7, and 8
Since the AVR ONE! comes with an adapter cable I did not have to create one. The adapter cable has a 10 pin male header on it and 10 multicolored wires so that the pins can be identified easily.
So that was the answer to the first question, but after that I ran into another wall and will put that question in the next post.