To get started with MegaGlest play the tutorials. First play basic, then advanced tutorial. And if you are completly new to RTS gaming try the very basic tutorial.
After the tutorials you should really play the three prepared beginner scenarios called Beginner 1 - Beginner 3. You will see they are hard enough to win.
Ready to Fight
Now you are ready to fight! You can either play other scenarios or you can setup your own game. But be careful, the MegaGlest AI is really tough so CPU-easy opponents are really enough in the beginning!
If you can beat a normal CPU you are ready for multi-player! Don't be shy, the community mainly plays coop games vs. CPUs. So it doesn't matter if you are not so good. Multi-player is very good for beginners because they can learn a lot from other players!
And please don't leave the Online-Lobby after 10 seconds. If you stay 15 minutes there will be other players. You can also check play.mg to see whether any servers are available.
Forums: How to Play Online