Well, one could use a "sound to MIDI trigger" system, basically operating on the same principle as a piezo drum trigger or even a wind controller. You'd still have to do a bunch of triggers into a brain and then output that MIDI data and route that at MyDMX.
I've expanded my nano collection to include the nanoPAD and nanoKEY, which I can use for additional MIDI triggering of MyDMX or other things. But, the nanoKONTROL is great because it gives me 36 knobs, 36 sliders/faders and 72 buttons for control and triggering. That's a LOT of stuff to play with in a very inexpensive controller.
How to DJ's use this program? They punch up the scenes they want to use, that's how they use it. I suppose if you want a more "choreographed" show, you could via MIDI and a second laptop(running a music production suite that can output MIDI) and use that to help realize your show. Since MyDMX can read MIDI triggers based on what you assign/learn, you can pretty much more or less kinda sorta but not really do a "sound to light" thing. You'd just send MIDI instructions that MyDMX will listen and respond to.
But if "sound active" is what you're into, then make sure you have lights that have a DMX-512 operating mode with a sound active mode IN the DMX control portion.
Personally, I'm not a super big fan of sound active lights, but don't let me say they suck. It's a good cost effective way to get a light show without having to actually work for it. This isn't necessarily a bad thing as it take a lot of nuisance work out of your hands. To each their own.
I'm programming for a long event and I have to take this sort of stuff into consideration. Thank goodness I do have some sound active lights that will be hanging off relay packs.