You can control displaying multiple columns in additional DJ-MegaMenu Options tab in menu item editing form.
Go to Menu Manager and choose menu displayed with DJ-MegaMenu module. Selecting max level in filters will help you to find desired menu item.
Edit the menu item which will start the new column.
Go to DJ-MegaMenu Options tab and use Start new column (break point) option to start the new column from this menu item. Optionally you can set the Column width in pixels for the new column.