To create a mega menu on your website, you have to add Custom Links to your menu. Make sure that you are in Appearance > Menus tab before you start. Navigate left where you can see the custom links tab. When you click on it, it will show two fields, type a "#" in the first field and your preferred menu item name in the second field called: Link text. Click Add to Menu.
When your main menu item is ready we can get to creating the mega menu columns, to do that just add another custom link, again with the "#" as the link and in the link text field type a "-". Click add to Menu
Drag the created menu item under your previously created main menu item but set it as a subitem. To do that just move it to the right, just as you would while creating a normal menu.
If you did everything right the name of the submenu item should change from "-" to "- sub item". This is your column. Now you can add your pages under the column and they will appear on the site under each other.