Your connection depends of what you are testing and what type of tests you are doing, seems everyone is buying meggers these days but nobody is getting any training on how to properly use them. Download your meggers inst manual and download "A Stich in time" from the megger website, that will cover the basics and get you started. Ask you boss to send you to a course to learn how to use your megger if your job requires you do testing.
And no, you dont always use all 3 wires, one is a gaurd used in certian situations.