Not all download managers work the same, so depending on how they request files from the server, MegaUpload (and other filehosts) can block or cut the file transfer.
jDownloader is an excellent download manager built specifically for filehosts like MegaUpload, RapidShare, etc. It's java-based so the GUI portion is a little sluggish, but it automatically sits through the timers and retries as soon as your limit is up, clicks all the necessary buttons/links, and can even detect and fill-in captchas. All you need to do is paste in the file links and click Go.