From left to right:
Full step: no | no | no | no
Half step: yes | no | no | no
1/4 step: no | yes | no | no
1/8 step: yes | yes | no | no
1/16 step: yes | yes | yes | no
1/32 step: yes | yes | yes | yes
If you're using an A4988 Pololu then you probably want 1/16.
If your LCD controller did not come with a Megatronics specific adapter board, you can buy it from ebay, search 'lcd adapter board'. Will save you a lot of headache for <$5.
Alternatively you can hookup the individual pins by looking at the schematics for your lcd controller and the megatronics. Check the source in the
Wiki.