The Arduino Mega 2560 uses different pins for the I2C.
Use either the pins SCL and SDA (only on newer boards) or see the Wire library : Wire - Arduino Reference
Don't use the XDA, XCL, ADO and INT yet.
Connect the two I2C lines, and VCC to 5V and GND to GND.
Run the i2c_scanner. It must see the device. If it doesn't, check your wiring.
If the i2c_scanner detects the sensor board, write down the address.
use my sketch: Arduino Playground - MPU-6050
You may have to change the address.
You can tilt the board and see how the values change.
If my sketch is working, connect the INT to pin 2 and try the code by Jeff Rowberg.
See this page to find which pin is needed for INT 0 : http://arduino.cc/en/Reference/AttachInterrupt