Megson said: "Nicolas is a world-class striker and one of the best players I will have worked with. Nicolas is certainly out of the top draw, one of the best forwards in the world, yet we are bottom of the league.
"We need to find a way to get the best out of him. He's a great goalscorer and everybody knows the attributes he has.
"I've spoken to him on a one-to-one basis and he's impressed me. He just wants to do well for the football club.
"People are going to covet players like him. Nicolas Anelka is one of the best, so it's bound to happen, but he's a great bloke."