You mostly got it. MIDI trigger learning is done via the USER tab. Go into user mode, right click the scene you want, select "learn midi" then a "waiting for MIDI command" window will pop up. Perform the trigger action, typically a keyboard press(note on). Once it sees something, it "learns" it and then the "waiting for MDI command" window will go away. Repeat as necessary, and save often and document wat you do so you can repeat it.
Just an interesting note:
Have your MIDI interface plugged in BEFORE you launch MyDMX or else MIDI functionality will be disabled, including the "Learn MIDI trigger" function. Worse case is you quit MyDMX, ensure your MIDI interface is plugged in and recognized, and then re-launch MyDMX. I discovered this because while I was troubleshooting your other problem, then I saw this posting of yours in this thread.