I'd like to see the ethernet shield. Do you have a link to that?
If the ethernet shield has an ICSP connector on the bottom that connects to the ICSP pins on the Mega, then it is Mega compatible and needs no jumpers. If not, you will probably need to jumper the SPI data pins before it will function.
MOSI = D11 -> D51
MISO = D12 -> D50
SCK = D13 -> D52
D10 stays where it is. That is the standard ethernet slave select.