Your problem has nothing to do with either megaupload or JDownloader. The error message is misleading (I believe this is fixed in the next release).
First, you are using an old version of JDownloader. Unless you have changed the wrong settings, If you use File -> Restart, when the program starts it should notice that it has at least 20 files to update.
Tell it to update. Then use File -> Restart again (to activate the updates).
Second, make sure you have agreed to the user agreement for Megaupload.com by going to Settings -> Plugins & Addons -> Host and scroll to Megupload.com. Make sure the checkbox in the Accepted column is checked.
Third, While you are there, highlight the Megaupload.com line and click on the settings button. There are two fields: The port to use (80 is the safest) and Use Port Rotation (clear the check box).
After you have taken these steps, make sure that your filrewall allows JDownloader to output from any port to any port. Make sure your antivirus completely trusts JDownloader and that your antivirus does not examine the network data (that is the firewall's job and when the Antivirus does it, it can really mess things up). Then start JDownloader and test your links again.
Note: Depending on your settings, JDownloader may try to communicate with megaupload on any of these four ports: 80, 443, 800, and 1723. This is probably where your problem is coming from.
If these don't fix your problem,
here is a short list of things to try for this error message. It is a common message with several different possible causes.
Please let us know how things go.