You go in to any 7-11, gas station, or convenient store and tell them you would like to purchase x amount of mega million tickets, they cost $1 each to play and say you buy 3 you will have 3 rows of 6 numbers on a ticket. You can either choose your numbers or have the computer do it. There is a drawing every Tuesday and Friday at 11pm EST. If you buy a ticket on Wednesday or I think 10:40 Friday night your ticket will be for Friday's drawing and if you buy a ticket anytime after that until 10:40 Tuesday night your ticket will be for Tuesdays drawing. The numbers do not have to be in order, but it's only for that 1 line, you can't combine lines "plays." The megaball number at the end must be exact, the other 5 can be in whatever order.
I think you can watch the drawing on TV or just view this site for the numbers...
http://www.megamillions.com/numbers/
Look at the chart below the winning numbers, even if you don't get the megamillions there is a possibility you could get something back.