The Arduino Prototyping Shield makes it easy for you to design custom circuits with your Arduino MEGA.
You can solder parts to the prototyping area to create your project, or use it with a small solderless breadboard (not included) to quickly test circuit ideas without having to solder. It's got extra connections for all of the Arduino MEGA I/O pins, and it's got space to mount through-hole and surface mount integrated circuits. It's a convenient way to make your custom Arduino circuit into a single module.
You can find in the Getting Started section all the information you need to configure your board, use the Arduino Software (IDE), and start tinker with coding and electronics.