Did you remember to defeat the auto-reset on the mega2560 board? This is done with a resistor or cap (of the proper value between reset and +5vdc pins on the mega board. Search for the proper values.
If you can manage that, but I'm not sure there is a clear method to do that depending on USB serial driver being used, OS being used, etc. Most just add the temporay resistor or cap to suppress the DTR pulse when using the Arduino as ISP sketch.