Do you connect MegaDrum over USB? If yes:
1. Exit MDMFX
2. Connect MegaDrum over USB and power it up normally.
3. Start MDMFX.
4. Go to Main->Options
5. On Options->MIDI Tab select "MegaDrum USB MIDI" in MIDI In and MIDI Out. Click Ok
6. MDMFX will now show MegaDrum's current firmware version in "FW version"
7. Now go to Main-Firmware upgrade and follow instructions.