Sure! I can send you some images of my protoshield. Let me get back to you before the end of the weekend.
It was a bit confusing for me too until I had all of the parts in front of me. Have you seen my post on the assembly of the protoshield here?
Once you have the protoshield assembled, you'll notice that the protoshield "stacks" on top of the Arduino Mega via the headers. Then the Grove Base Shield stacks on top of the protoshield also via the headers.
Hope this helps! Let me know if you have any more questions.