Well, let's refine what CMBDJ said:
NATIVELY in MyDMX, or using MyDMX only, it can NOT be done. And hence, his statement is 100% accurate.
Can it be done? Yes, it can. It's not super complicated, but it's only not super easy because it requires attention to details and knowing how to troubleshoot your exact sitaution. The big question is "do you want to use 1 PC or 2 for this?"
While it CAN be done(and I have done it), I don't think it SHOULD be done with the MyDMX product. Using a MIDI/audio production package for the music(and please, a professional audio interface), a MIDI interface(could be optional), a MIDI cable(again, could be optional), it can be done.
In my case, I have MyDMX, so I spent about $100 on Sonar 6 Home Studio. This gives me MIDI capabilities and audio in one package. Adding a pre-existing MIDI interface(MIDISPORT 2X2)(around $50) and a MIDI cable, plus my ProTools Firewire 410(for pro audio interface, plus it has a MIDI interface), I made it happen. I can even lose either MIDI interface and still make it work, but then you really have to pay attention to details.
You also have to start your sequence with music then make MyDMX the foreground application, so you need to build some lead time into your sequence to make it happen. How much time depends on you and how fast you feel comfortable with.