Good Day! Can somebody please give a link or tutorial how i can connect MSR606h to arduino using usb shield... This is giving me a hard time... please help me... 
Not sure it's an HID device... did it come with documentation?
The "H" at the end of the name seems to imply that it is the "HID" (Human Interface Device) version. At least for card reading it should act like a keyboard. Look for tutorials about connecting a USB keyboard to an Arduino through a USB Host Shield.
Connect it to a PC or Mac to see what other kinds of device it emulates. That should give you some hint about how to write to it (you only write to a USB keyboard to set LEDs).