To build a mega menu in your top menu, you need to log into your wordpress dashboard and go to Menus under Appearance page link.
Now you can add pages/posts into the menu by checking them from the left sidebar and click Add to Menu. When you are finished with all the pages you need in your menu, you can open your top level menu link which you want to make into a mega menu and add menu-full-width in CSS Classes (optional) field (above image).
* If you dont see the CSS Classes (optional) field you can click on Screen Options link on the top of your dashboard (to the right), open it up, and enable CSS Classes.
After you have added the css class, you can arrange the sub-menus under this menu like a series of menu and sub-menus:
Now Home is one of the main menu link which opens up this mega menu, each first level child element is the heading of the mega menu, and its sub-childs are menu under that heading link. The above mega menu should look like this: