Ok, taking your questions one at a time:
class MyClass : public State // MyClass inherits State?
exactly so. MyClass inherits (publicly, which is usually the only kind of inheritance you care about) from State. Literally, MyClass "is a" State - everything true about State is also True about MyClass.
private
MyClass(){} // Constructor for MyClass?
Yes, MyClass(){} is a constructor for MyClass, specifically in this case taking no arguments and doing nothing (nothing special - memory will still be allocated, etc). However, because you've made MyClass() private, nothing else can call it, meaning you can't ever create a MyClass object (with no parameters) except from within MyClass methods.
MyClass(const MyClass&);  // const means that invoking object will be not changed? What the meaning of '&' symbol? MyClass&
Yes, const means that the object passed as a parameter won't be changed. This is, in fact, the Copy Constructor - the special constructor used to create a MyClass as a clone of an existing object. Again, it's private, so most of the world can't call it. The & indicates passing the parameter by reference - this prevents the compiler having to copy the object, and is often a good thing.
MyClass& operator = (const MyClass&) // What this statement exactly do? is it some kind operation overloading?
This is the copy-assignment operator, used to allow statements like `instance_a = instance_b;". 
Note that, unless you define them yourself, the compiler will generate default versions of all of these three for you.
MyClass2::MyClass2(int i):BaseEntity(id),
m_iTotal(5),
m_iMonye(5),
m_iLevel(10){}
BaseEntity(id) is very similar to the other three lines; it's telling the compiler that when MyClass2 is constructed, it should call the parent class BaseEntity's constructor with the parameter id. Your second form of this constructor is very similar to your first form, but the first one - using an initialisation list - is considered better form.