I don't think you went far enough, sounds like you stayed on the initial page, you have to select a title first, then links to megaupload will be presented.

Hit the "Premium" button,(at the Megauploads page,orange/white background as opposed to ice's blue/black scheme) in between the "FileManager" and "Rewards" button to get to various levels of pay memberships, it also defaults if you try to hit the Premium download button on the file dialogue when NOT a premium member.

When in icefilms, select your episode or movie, skip the stream options and use the download link beneath the two blue boxes and above the "DivX player detected" line it will lead you to megauploads or 2share, once those boxes disappear and you're presented with file options to download.
Many times the choice between 720p or DVD/SD are presented,use it often enough and you'll see who regulars there are.

OK, I've typed the instructions ass-backwards(I work at night and sleep during the day) I'm groggy right now or else I'd give some screenshots, Play with it and you'll catch on, PM if not clear enough.

EDIT: icefilms is for indexing, MU is for storage. http://www.megaupload.com/

I use Adblock Plus from Mozilla's add-ons for Firefox/SeaMonkey, cuts most ads out except some of MU's last minute popups. Icefilms is only an index, you have to travel via links to where the programme is stored.