is it possible as the part of the mega menu, to have a page content open,
like on this plugin
and if not, does your theme support this plugin ?
Do you mean can you use shortcodes inside the mega menu like as shown in the ubermenu demo? It would depend on the shortcode but yes you can. For example an icon shortcode would display fine but if your trying to display portfolio posts then there is just not enough space, etc etc.
Go ahead and watch this tutorial first, http://vimeo.com/channels/aviathemes/92503669, and then when you create a link for your mega menu you can insert HTML and shortcodes into the description field.