2. Turn on "Direct download" option in your account settings on megaupload.com site. You can do it on "Transfer settings" dialog. See picture.
When direct download option is turned on, it's not necessary to download with IDM using "download with IDM" popup menu item in the browser. IDM should take over the download automatically when you click on its download link. If IDM has not taken over the download and a standard browser download dialog appeared, you should check the extension in the list of automatically downloaded file types in IDM "Options->File Types" dialog. For example you can come across files like filename.zip.001, filename.zip.002, and etc. In this case you should add 0* (zero followed by an asterisk) to the list of file types to start downloading automatically in Options->File Types.