1) Megacore: IP developed by Altera to run on their FPGAs. This can be anything for a simple added to the PCI-Express Core.opencores (http://www.opencores.org) is a website that provides open source IP, and a good resource.
2) What are you trying to implement? If you mean a PCIe endpoint than yes it is possible to implement it without using a megacore. Other companies provide a PCIe endpoint that can be implemented in the Stratix II GX.
3) I suggest you goto the demonstration center (
http://www.altera.com/education/demonstrations/dem-index.html) on Altera's website. There are many online demonstrations that will help bring you up to speed with Altera's Software and FPGA concepts.