I'm thinking you might want to find that CAPS-LOCK key first.
Need more information, but you're not reading previous threads about MyDMX and MIDI Sequencing on the same computer. Is that what you're doing?
1: MyDMX is NOT installing as a MIDI device. To trigger MyDMX, it needs to see input at the MIDI IN port on the MIDI interface.
2: You are right that MyDMX will learn and remember MIDI triggers. Just ensure you SAVE!!! And if you send Note 36 on MIDI channel 9, it will save MIDI NOTE 36 ON on MIDI CHANNEL 9 for that trigger. You can then plug it into a sequencer for triggering. You might also want to document your trigger settings to ensure in case they get lost you can rebuild it quickly.
3: DO NOT UNDER ANY CIRCUMSTANCES run your sequence for playback and triggering MyDMX on the same computer you're running MyDMX on. It's not a CPU and processing power issue, it's more of a MIDI issue, as you'd have to roll a hard MIDI loop(cable from an out to IN) and ensure you have no echo issues, which can crash you in seconds.
MyDMX also needs to be the foreground application in order to see MIDI events.
If using an external sequencer or a second computer for sequencing, you should have few problems. BUT: do take note in a 2 computer configuration: you MUST use MIDI as your transport protocol. This means if 2 computers, you need 2 MIDI interfaces, not one of those USB "data transfer cable" devices, as those won't work.