el_pablo:
All the tutorial are using the SPI pins to program from the Mega and the ArduinoISP sketch has been changed sinced, because now the sketch suggest to use the ICSP headers instead.So here is what I've done.
Connect the ICSP headers using 1-to-1 wiring, which is MISO->MISO, MOSI->MOSI, etc. EXCEPT the reset pin.
The ICSP header is the SPI pins. You can use pins 50-52 on the Mega or the ICSP header pins and it makes no difference because they're both connected to the same pins on the microcontroller on the programmer board. It makes sense to recommend people use the ICSP header from a documentation standpoint because SPI pins are different depending on which board type you have (e.g. Uno, Leonardo, Mega).
el_pablo:
I've also added a 10µF cap on the reset pin on the programmer to its ground.
That is definitely a good idea. It used to be that you could often get away without that capacitor but a recent change has made it more likely to be needed.