Hello,
The GPRS demo code is using Arduino SoftwareSerial library, it is different between Arduino Uno and Arduino Mega, the digital port 8 could not be used for software serial RX. Hence , if you want to use software serial, you should connect TX of GPRS Shield to other port like D10 , then change the demo code
SoftwareSerial GPRS(7, 8);
[/code] to[code]
SoftwareSerial GPRS(10, 8);
For more detail of SoftwareSerial library , you should refer to the below link.
http://arduino.cc/en/Reference/SoftwareSerial
Deray