Input the Jump Command when Mega Flare gets to '2'. That way, you be Jumping when he uses Mega Flare, and get out of it unscathed. Put Cain in the back row so the counterattacks will do a measly ~200 damage (provided you have all the Dragon Equipment on). Another tactic is to use Lunar Curtains and reflect the Mega Flare. Both tactics are infallible, so long as you do them correctly.

Zeromus EG isn't a pushover, but he isn't really difficult. But don't worry, it'll be epic. However, you can make him a joke with the Grimoires...literally. Well, at least try to beat him legitimately the first time, okay?