His League One favourites had lost five out of seven league matches going into Saturday's clash with Rotherham.
But Lester returned from a serious cruciate ligament injury to help Forest to a 2-0 win in front of more than 20,000 fans at the City Ground.
Megson made six changes to the side defeated at Barnsley last week.
Rotherham started slowly and Lester, returning after nine months out through injury, could have put Forest ahead after two minutes.
Nicky Southall delivered a superb ball from the right but Lester's header went just wide of Neil Cutler's post.
John Mullin put a header wide before Deon Burton also went close, directing Michael Keane's cross from the right just wide of the far post.
But Forest continued to be a threat. Lester fired a shot to the back post that was cleared only as far as David Friio but he fired over from 10 yards.
Burton had another chance with a header, this time Mullins robbed Kris Commons of the ball down the right and when he swung in the ball, Nicky Eaden cleared his glancing header towards the back post.
At the end of the first half, Forest went close when James Perch fired a volley from the edge of the box just wide of Cutler's right-hand post.
In the second half neither goalkeeper was troubled as the Forest fans began to turn on their team when they started to give the ball away.
But 15 minutes from time Forest went ahead. Cutler only parried Commons' fierce long-range strike and Lester pounced, pushed it around the goalkeeper and was brought down by Cutler. He stepped up and made no mistake with the spot-kick.
Rotherham pressed but two minutes from time Commons sealed the game for Forest with a lucky strike. He swung in a cross from the touchline which deceived Cutler and floated into the top corner.