Data packet format when USB initialized as COM port
Once the USB connection is initialized as a COM port, it no longer utilizes traditional USB packets (only internally). It acts as a regular COM port. This layer of abstraction is created by 8u2 chip on Arduino side and by the driver on the PC side.

If you need to use the USB without the COM port abstraction, you have to probably configure the 8u2 chip to behave this way. I think it should be possible to configure to act as some HID device for example. You would also need to take care about the PC side and you might have to write your own driver.

For a guide on hacking and configuring the 8u2 chip on Mega, see following link:

http://arduino.cc/en/Hacking/DFUProgramming8U2