Are you planning to go from KL Sentral to Mid Valley Megamall?
The easiest way to do that is to take a taxi, which only costs you RM10-15, depending on traffic condition.
Train from KL Sentral to Mid Valley
However, during peak hour (8-9am and 5-8pm on weekdays), it may be difficult to find taxi at KL Sentral due to traffic jam. You can just take the KTM Komuter train from KL Sentral to Mid Valley Megamall. In fact Mid Valley Megamall is just one station away from KL Sentral. Just hop onto KTM Komuter departing to Seremban direction at KL Sentral and hop off at the next station which is the Mid Valley station.
Those who stay at Cititel Hotel Mid Valley may find KTM Komuter very convenient because the station is just 200 meter from the hotel entrance.