There is no 40-pin connector on the mega, so you can't plug this in directly. If looks like they have some sort of shield that will go between a mega and the screen.
From the description, it sounds as if the screen is designed to plug into the shield. In that case, you would need a 40-pin ribbon cable with a male connector on one end and a female on the other to mount the display remotely from the mega.
They don't say specifically, but it looks like a 2x20 0.1" (2.54mm) pitch header. Search for "40-pin IDC ribbon cable". If you can't find one with a male end, you can use extra-long male header strips to make a female->male adapter. https://www.adafruit.com/products/400