1: What OS are you using? Yes, it's important, especially with many M-Audio products. MyDMX didn't like a good many items I had under Windows XP, but as soon as I used them in Win 7, MyDMX had no issue with it.
Example:
The OLDER MIDISPORT 2X2(when the were MIDIMAN), which uses the SAME DRIVER as the MIDISPORT 2X2 Anniversary Edition, the older worked fine, but the newer did not. This was in XP. Under Win7, both work fine.
Testing with MIDIOX showed the interfaces worked fine regardless of the OS, and Sonar Home Studio worked fine under XP with both interfaces(I have not loaded this under Win7, it's not recommended). ProTools recognized both interfaces under both OS's.
So, first, what is your OS?
2: Regardless, test with MIDIOX.
3: Reboot with the MyDMX hardware disconnected. Once loaded, connect the MyDMX hardware directly to the computer.
Also connect(unless already connected) the keyboard. Any USB and/or firewire MIDI devices must be connected before launching MyDMX.
If you're using a MIDI interface, connected via USB or firewire, whatever you plug in behind the interface is irrelevant from the point of view that the connection from the computer to the MIDI interface is the critical component.
ALSO, with MyDMX, you can only have ONE MIDI source, and unfortunately, it's not clear what that will be until you go and try stuff and it's too late.
4: DO correct me if I'm wrong, I'm nowhere near a machine running MyDMX right now, but I think you have to be in the edit window or something to assign a MIDI trigger to a scene, not the USER window. You have to go into this page with all sorts of options. Right-mouse click on a DMX channel brings up the MIDI Learn option. MyDMX lacks the ability to "forget" a MIDI command through direct user interaction(say, I want to forget this command... nope). I have had MyDMX forget the MIDI assignments many times though. STILL, it's critical that you do some documentation so you can know what you are or are not using. Are you using that same key for channel control AND triggering?
There's lots of questions to be answered, and the fact that you're new to the software just means that you'll need to provide more answers AND ask more questions. My advise: JUST KEEP ASKING!! I really don't care if you think it's a "stupid question". If you have a question, then ask it. It sure beats getting frustrated and giving up.
Don't quit. We're trying to help. Help us to help you and everyone will be happy.