Folks seem to be a little confused as to just what is tested during a megger test.

First of all, there is no such thing as a "megger test." There are, however, a number of different tests you may perform with a megger.

To begin with, a megger does not apply an extremely high voltage to the wire. Even 2000V is not that 'high,' when compared to what the wire is exposed to in the testing labs. That said, most megger testing is done at 500v, which is well withing the rating of usual building wire.
The real effectiveness of a megger lies in its' ability to measure extremely small changes in resistance. Think of it as a "micro" tester, if that helps.

The first test, the simplest test, is nothing more than a more sensitive continuity test. A megger is capable of detecting leakages at a much lower level than a continuity tester.

Another useful test is called a "polarity index" test, which relys upon differing voltages to be applied, a graph made- and compared to a graph made at an earlier time. This test reveals a breakdown in the resistance of the insulation to higher voltages, over time.

The third major test is calle the "saturation" test. Simply put, the wire is 'filled' with electricity, and, again over time, the amount that leaks out is measured. Once again, interpreting this test relys upon having previous test results available for comparison.

Not every "megger" is able to do all these tests. The meter maker ought to be able to provide you with complete instructions. It does matter which meter is used, over the course of testing.