M'gee-LAH is Hebrew for Scroll. In Jewish texts, there are 5 Megillot (plural) in the K'tuvim.
1. Song of Songs
2. Ruth
3. Lamentations
4. Ecclesiastes
5. Esther

Generally if there isn't a name associated with the Megillah, it's referring to Megillat Esther, the Scroll of Esther which we read on Purim.