It is a common problem that beginners often want to do projects that are way above their current knowledge / skill level.
So a good start would be to describe what you don't understand.
Is it this page that is giving you problems? Jumper wires
This shows two 16 way header sockets connected together with some 0.5 inch ribbon cable. These sockets are called insulation displacement sockets. To attach them to the ribbon cable you need to thread them onto the ribbon cable and squeeze them in a vice. The blades on the connectors then cut through the insulation of the ribbon cable and make contact with the wire inside the cable.
You need to squeeze the right amount not too hard and not to soft, and it is vital that the sockets are aligned at 90 degrees to the cable.
Then one end goes into the matrix display and the other end the individual wires are picked out and connected to the appropriate Mega pins.
That is what those instructions are telling you to do.
If you physically can't to this then you can't do the project.
You need to read up on this display, it needs specific programming as the connection between controller and display is not 'rows' and 'columns' connections.
Have you programmed an Arduino or any other micro controller?
Can I suggest you look up one of the many Arduino tutorials online and get used to programming before embarking on this project.
Doing the tutorials will help you understand to scope you need to use the display.
I can't open your link from the phone... so I don't see what the matrix is.
There is the key condition to be able to run hub75 panel with Mega - the matrix scan factor must be a half of the height. For example, if we talk about 64x32 panel, it must be scan 16 matrix.