Michael, the APM 2.6 has an external compass, did you get a GPS module with your APM, a round black disc maybe.
It's a combined unit that has a GPS module on the top and a compass module underneath the GPS module.
It should have two connectors, one is a 5 way connector for the GPS that connects to the GPS socket and one is a 4 way connector for the compass module that connects into the I2C socket.
You need to connect the Compass unit to allow you to calibrate it. If its connected properly when you go to the calibrate now tab on Mission Planner you should see a 3D sphere with some white dots, then as you rotate the compass unit the sphere should fill up with coloured dots as you calibrate it.
If you just see the three white 3D axis lines and no white dots then the compass is not connected properly.
Also you need to pick APM with external compass at the top of the MIssion Planner configuration page.
Hope this helps, it gets easier as you become familiar with things.