It's pretty easy:
Normally you can create standard dropdown menus. The far left menu items are the main menu items, sub menu items can be drag'n'dropped to the right and are attached to the main menu items then. They'll appear as dropdown lists. This behavious doesn't change in Shoutbox too. But you can build menus with more than one dropdown list, they're called columns then.
To create a mega menu with columns you need to check the "Use as Mega Menu" checkbox option for main menu items (items to the far left which are not sub menu items). All sub menu items of this menu item will create new columns which will be displayed side by side. You can check the option "This column should start a new row" to display menu items underneath each other. Now you need to fill these columns. This can be done by adding sub menu items to the sub menu items. The will be displayed in the column of the sub menu item you attach them too.
So basically the structure for a standard mega menu looks like: Main Menu item (creates mega menu) > Sub Menu items (create columns or rows) > Sub Menu items of Sub Menu items (create column content/lists).