That device uses I2C to communicate. On a Mega2560 SDA goes to pin 20 and SCL goes to pin 21. Then use an I2C scanner to see if the I2C address is correct and if the module is able to communicate on the bus.
// I2C scanner by Nick Gammon. Thanks Nick.
#include <Wire.h>
void setup() {
Serial.begin (115200); //***** make sure serial monitor baud matches *****
// Leonardo: wait for serial port to connect
while (!Serial)
{
}
Serial.println ();
Serial.println ("I2C scanner. Scanning ...");
byte count = 0;
Wire.begin();
for (byte i = 1; i < 120; i++)
{
Wire.beginTransmission (i);
if (Wire.endTransmission () == 0)
{
Serial.print ("Found address: ");
Serial.print (i, DEC);
Serial.print (" (0x");
Serial.print (i, HEX);
Serial.println (")");
count++;
delay (1); // maybe unneeded?
} // end of good response
} // end of for loop
Serial.println ("Done.");
Serial.print ("Found ");
Serial.print (count, DEC);
Serial.println (" device(s).");
} // end of setup
void loop() {}