Oh no! Another drummer/light tech!
Seriously, I don't think you've done anything other than sign up for this forum to post your problem without reading or trying any troubleshooting.
Issue 1: Have you installed your software and drivers? Have you rebooted after doing so?
Issue 2: Jingles brings up a very valid point about 32bit OS vs 64-bit OS. Also, since we're on that subject, which OS do you have? XP, Vista or Win 7? Also, is it a 32-bit version or 64-bit? YES, it does make a big difference because you have to do a partial manual install for 64-bit.
Issue 3: Are you booting with the dongle plugged in? Don't. Plug it in after booting up and you're just about ready to run MyDMX.
Issue 4: Cable. but take it another level: try other USB ports too. But do try other cables as well.
Issue 5: Are you using the software that is on the web site? ALSO, are you using the software that is available via my web site if you're 64-bit?(I forget where it is, I'm leaving it alone as much as possible, probably something like
http://www.studio42.com/adj or something obvious like that)
Issue 6: DO you have a second computer to try this out on as well? This is just a step in troubleshooting.
Be patient. Troubleshoot one step at a time.