How do I get any sound out of it? I don't see where I can connect my headphones.
MegaDrum doesn't produce any sound by itself. It is a MIDI trigger
device. You need to connect it to a MIDI sound synthesizer/sampler. It
can be a drum machine with MIDI In or better yet it can be connected to
a computer with drum synthesizer/sampler software, e.g. EZDrummer, BFD,
Addictive Drums. Some say this combination puts Roland TD-12/20 to
shade.