Hi,
I want to power my Arduino Mega with 5Vcc.
Can I apply this voltage to pin 5V in the POWER connector directly?
Some components will damage?
Regards
Can I apply this voltage to pin 5V in the POWER connector directly?
No the power connector goes through a regulator and you need a few volts over 5V (say 7V) to make it regulate correctly.
If you want to apply 5V directly you must use the Vin terminal, but this must be regulated.
If with "POWER" connector you refer to the female 6 pin header (RESET, 3.3, 5 etc), you can connect a clean 5V power source directly to the 5V pin (make sure it is regulated however).
The VIN pin is the raw unregulated power terminal which connects in between the reverse polarity protection diode and the onboard regulator.
This is in direct contrast to what Grumpy_Mike says above, but I trust he will agree if he takes a second look at what he actually wrote.
If with "POWER" connector you refer to the female 6 pin header
Yes but it doesn't.
The power connector is the big black power jack on the side of the board next to the USB connector.
Yes you are right about the Vin. 
So I should have said:- If you want to apply 5V directly you must use the +5V terminal, but this must be regulated.
If with "POWER" connector ...
That was for the OP.
On the Arduino silkscreen, each female header has its name/function printed next to it - DIGITAL, ANALOG and POWER - so referring to it as the "power connector" may not be all wrong.
That was for the OP.
Sorry don't know what that means.
so referring to it as the "power connector" may not be all wrong.
Yes it was. 
Sorry don't know what that means.
OP stands for Original Poster.
ie. the person that started the thread
This thread is very similar to http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1249627184
I'll pose a very similar question here:
If AndreaM has a regulated 5V supply why can't he/she supply the Mega using the power conductors of the USB port?.
This is essentially what happens when the Arduino Mega is powered by an attached computer (via USB).
He/She'd have to strip a USB cable with type A connector, and join the power conductors to the output of their regulated +5V supply.