The 4 pin Molex style connector is an RS Components 820-1179 VHR-4N – JST Female Connector Housing – VHR, 3.96mm Pitch, 4 Way, 1 Row, the crimp inserts are 820-1163 BVH-21T-P1.1 JST NV, VB, VH Female Crimp Terminal Contact 18AWG

Notes:
Uno or Mega, the pin connectors are all 0.1″ spacing. On one side there is a 0.1″ gap between set of analog pins and other pins. On other side, they all are digital pins but there is a 0.05″ gap between the 2 sets of connector. Basically it was a mistake on the first PCB and they have kept it so that the shields would be compatable with future models.

This is why the Adafruit RGB Matrix Shield cannot be used on a Mega as the pins do not line up, unless you solder the two pins for SDA and SCL, then remove the spacer support, bend the two pins as shown in the picture so they are offset 0.05″, which allows the shield to plug in.

Adafruit Guide 32×32 RGB LED Matrix – https://learn.adafruit.com/32×16-32×32-rgb-led-matrix 

 README.txt

This is an Arduino library for our 16x32 and 32x32 RGB LED matrix panels

Pick one up at http://www.adafruit.com/products/420 & http://www.adafruit.com/products/607 !


Written by Limor Fried/Ladyada & Phil Burgess/PaintYourDragon for Adafruit Industries.  
BSD license, all text above must be included in any redistribution

To download. click the ZIP (download) button, rename the uncompressed folder RGBLEDMatrix. 
Check that the RGBmatrixPanel folder contains RGBmatrixPanel.cpp and RGBmatrixPanel.h

Place the RGBmatrixPanel library folder your arduinosketchfolder/libraries/ folder. 
You may need to create the libraries subfolder if its your first library. 
Restart the IDE.

We also have a great tutorial on Arduino library installation at:
http://learn.adafruit.com/adafruit-all-about-arduino-libraries-install-use