I believe that you should be using the same put the shield for serial communication.
Try changing the jumpers to ports 3 and 4 of shield.
Hello,
I am having the same problem as luisc29 and I have no idea what to do. Can you explain more on your comment? I am completely new to Arduino (1st time using it) so what ports should I connect to on the Arduino Mega 2560? How should I wire the two together?