Have you read this guide? It goes over the whole build pretty much step by step.
http://www.rcexplorer.se/projects/tricopterv25/tricopterv25.html
I'll still try to answer your question:
This is the control board you need for your tricopter. You will need male-to-male jumper wires to connect your receiver to your control board. In the image above you see that the pins to the bottom left are labeled Ail, Ele, Thr, Rud. These plug into your Rx with the jumper cables mentioned.
The connectors to the right go to the motors. This is the diagram for the motor order:
So you plug your ESC connectors into the appropriate M1, M2, M3 connectors, and the tail servo into M4.
The motors plug to the ESC's.
What you need to solder, are the power cables, these go from the battery to the ESC's. The red cables from the ESC's (The power cables, not the motor cables) go to the positive connector on the battery plug; and all the black cables go to the negative side of the battery connector.
The KKboard needs different software to be used for a tricopter. Check the RCExplorer.se link above.
Hope this answers your question.