You plug the "mega2560" shield into a MEGA2560 Arduino.
All the male pins mate with the corresponding female sockets as Nature intended.
You can use UTFT or TFT_HX8357 library for the TFT screen.
You could also use MCUFRIEND_kbv library from the Library Manager but it requires several complicated edits.
The Touch Screen has a XPT2046 controller. Use URTouch library.
If you have any problems, take notes.
Describe which library, what problem. Describe your steps from your notes.
David.