I have no problems with usb connection between megadrum and my computer. I use windows vista.
It's really strange that it works for you under linux and that you have the same problems on other computers as well. So, I would focus on the point that your megadrum appears in the device list but is not selectable in your application....that's the abnormal part I think. Do you have "Megadrum Midi USB" appear in the audio configuration window (Midi tab) of your windows control panel?