If you are using Internet Explorer you can right-click on the "Click here to download" link and select 'download using flashget'. Other browsers it might be easier to right-click and copy the link to paste into Flashget (right-click and select New Download from the drop-zone or New download inside Flashget application).
Other download managers work the same way, simply copy and paste the URL from "Click here to download" or direct download link from My Megashares and paste the URL into your download manager where it accepts URLs for downloading.