Vex = higher voltage that can power the motor and/or the shield as well as the Arduino if wanted
5V = Must be a clean 5V that can power the Arduino and shield, and if wanted also the motor itself
GND = ass always, the ground of everything
B- = Connection of the first motor or first winding of the stepper motor
B+ = Connection of the first motor or first winding of the stepper motor
A- = Connection of the second motor or second winding of the stepper motor
A+ = Connection of the second motor or second winding of the stepper motor

Vex = higher voltage that can power the motor and/or the shield as well as the Arduino if wanted

Vex = higher voltage that can power the motor and/or the shield as well as the Arduino if wanted

Vex = higher voltage that can power the motor and/or the shield as well as the Arduino if wanted

VLO
Vlo determines whether a power regulator is connected between the Vex and the logic chip.

If Vex is above 20 V the regulator should not be used (it will blow), as well as when Vex is below 6 V (it needs 6V minimal). This range is bigger than the regulator on the Arduino supports (from 7 to 12 V)

When switched to the off state the power regulator is not connected and power has to be supplied from VLC.

VLC
Logic chip power could also come from the Arduino itself, in this case put the VLC to on. If you have no Arduino power or prefer using power from the Vex turn this off. This is useful when using a 3.3 V arduino or when having limited 5V supply to the Arduino itself.

VM
This finals slider determines if the power for the motor comes from the Vex of the shield or the Vin of the arduino.

External power should always be used for the motor! if the switch is at Vin but no power is connected then the motor will draw current from trough the Arduino that is not desired.