Start with the basic wiringUse the Simple Audio Player Wiring from the link on the left.
Add some LEDsAdd a jumper from the ground bus on the left to the ground bus on the right of the breadboard.
Then add some LEDs from the GPIO pins to ground. Be sure to connect the long lead (anode) to the GPOI pin and the short lead (cathode) to ground.
Connect the Arduino to your computer with a USB cable. Select File->Examples->Adafruit_VS1053->player_gpiotest to load the example code.
If you have headphones, you will hear a beep at the start to indicate that the sketch is running. Then you should see the LEDs flashed in sequence.
If you open the Serial Monitor, you can see the values that are written to and read from each GPIO pin.