OK, you don't have a real problem with AT. You have successfully sent the command and, as I said, you don't really need the feedback.
It sounds like you might have used software serial on a hardware port. You might ask if you have good reason for using software serial on a Mega anyway, I bet you don't.
You might find the following background notes useful
http://homepages.ihug.com.au/~npyner/Arduino/GUIDE_2BT.pdf
http://homepages.ihug.com.au/~npyner/Arduino/BT_2_WAY.ino