Given that Megan is standing on a point that is 40°16' N, coverting Megan's bearing to degree gives

On the same line of longitude as Megan, Sarah is at 39°20' N. Similarly, converting her bearing to degree gives

Thus, we have the bearings of Megan and Sarah to be as shown below:
In the above diagram, Megan is at the East of Sarah.
Hence, for Megan to join Sarah, she (Megan) must travel in the West direction.
The correct option is D.