MichellePerez:
I don't know what I have to do,
Start (always) by actually explaining your situation.
What do you mean by "complete with the controller integrated"?
Where did you get it? Give us the weblink for this item.
If it is in fact one like this,
(But not from that seller), then please note that at least one vendor on eBay has been providing modules with the wrong (reverse polarity) version of the matrix resulting in the display brightly illuminating all LEDs at turn-on and merely showing faint suggestions of a pattern when correctly driven by code.
If that actually happens to be the case, you should claim a refund from the vendor. There are ways of using the module, but generally not worth the bother.
Note however that the MAX7219 should have a (10k) pull-up on the clock line to prevent it producing a random display - including all on - when it is not under the control of the Arduino code, particularly if you are "breadboarding" it.