I have a similar GPRS Shield from SeeedStudio and I fixed it:
you need to modify your program and schematic. 1)Program:SoftwareSerial GPRS(7,8)----SoftwareSerial GPRS(10,11); 2)You need connect pin-7 to pin-10(pin-8 to pin-11) by jumper wire.Because of not all pins on the Mega and Mega 2560 support change interrupts.