Megson was officially unveiled at the Reebok Stadium on Friday afternoon and will take charge of the team for the first time against Aston Villa on Sunday.
Megson went outside the stadium before the match to front up to some of those angered at his appointment.
He said: "I thought I would have a chat and see what's what. So I spoke to a few supporters.
"The red carpet is not going to be rolled out straight away.
"But I would like to think I have heart, desire and enthusiasm.
"I went out to tell them all of those things.
"I am honest, I work hard and give it everything I have got. I say what I think and that can upset people."
Megson is proud of his record as a manager even though former European Cup winners Nottingham Forest were relegated to the third tier for the first time under his stewardship.
"I want to prove myself everywhere I go," he said. "My record, although never in the upper echelons of the Premier League, has been at some very good clubs.
"All of them are better than when I joined and that includes Forest.
"As for this being my last chance, I was asked the same question at Leicester. But you never know what is around the corner."
Megson has confirmed that Archie Knox will remain on the coaching staff, adding: "I do not want to make massive changes, certainly not straight away."