The problem is that i don't know how to connect the rgb led strip with this shield...
You connect the MSGEQ7 shield to your Arduino and read the spectrum data. Here is a good tutorial explaining how to do this.
Then you write a program that controls some of your output pins depending on this data.
Now you just need a little circuit which allows you to drive the RGB strip from the pins. Here an example how this could look like.
In case you have an "adressable" led strip you can connect it directly to the Arduino using one resistor.
Helmuth.