Strikes from Gretar Steinsson, Kevin Davies and new signing Johan Elmander gave the home side a three goal advantage by half time.
However, Megson insists that Tony Pulis' Stoke side are not to be written off.
Megson told the BBC: "I'm really pleased. I was delighted with the goals we scored and the way we went about our work.
"There's a tendency to write off teams that come up from the Championship but we dealt well with their long throws.
"We scored at the right times, Johan Elmander was terrific, Fabrice Muamba was superb but the whole team did really well.
"I can't think of one performance from our team that was disappointing but we have only taken the first step."