Just 2 things:
1. The MEGA and ethernet shield are OK;
2. the TTL interface in the picture is WRONG: that one is good to convert TTL to serial and then again TO USB; with Arduino you just have to convert TTL to serial, since you are not going to a PC. So you need something like this:
http://www.dx.com/p/rs232-serial-port-to-ttl-converter-module-w-transmitting-and-receiving-indicator-144192; there are cheaper ones around BUT I had great troubles with them and I really don't reccomend using them;
3. since tipically the TTL interface comes witha DB9 serial connector but the HAI instead uses RJ11 plugs for serial connection (why?!?) you need to build a DB9-RJ11 cable; HAI sells one but it's quite expensive. Personally I found an interface that had pins on both ends (serial and TTL) and connected directly;
4. the data logging shield is useless since the ethernet shield already has an SD card module on board (look in the top right corner of your picture: that's the microSD slot); it's not exactly straightforward to use, expecially on the MEGA but I did it, so you can do the same. Also, I am currently using emoncms.org services for data logging directly on the internet and at the moment I don't feel the need for a local logging; also, emoncms can be installed on a local PC or NAS so that you can do the logging directly on your local network, without the need for an SD card device;
Also please note that the ethernet shield is used mainly for that purpose - logging data on the cloud - and you could get everything else to work without it. As I said the communication to and from the HAI goes thru serial, I don't have the programming abilities nor the interest in using the ethernet protocol for connecting.
When you are ready to go contact me, we could do a Skype chat, so I can help with setting everything up properly, if you don't have much experience with Arduino you'll need help I suppose...