I have had success with the following:
MIDIMAN MIDISPORT2X2, which is now the M-Audio MIDISPORT 2X2
M-Audio Firewire 410, which is a 4X10 audio interface with integrated MIDI.
The Korg nano-series: KEY, PAD, KONTROL, which are USB to MIDI controllers but are single-ended and DO NOT allow MIDI intput/output from outside the unit.
There's really no reason why MyDMX would have a problem with a MIDI interface. It's not really choosy. If you have properly installed the MIDI interface, you should be fine.
First, are you using a hub on both your laptop and your computer? MyDMX HATES USB hubs. Don't use a USB hub, powered or otherwise.
Also, donwload MIDIOX and install it. It's free and it's a fantastic troubleshooting tool. Really, anyone of us using MIDI should have this available for troubleshooting.
Third:
How are you programming things? Perhaps you're not programming things, which is why you're having issues. MyDMX listens to the MIDI INPUT(must be a physical MIDI in port). Also, MyDMX MUST be the foreground application. Since you want to trigger scenes with your MIDI keyboard, you're already working in the prefered method for triggering.
I did a lot of the testing for MIDI stuff out "in the field" and reported back on this. Try reading in this area of the forum more, especially in regards to stuff I've posted that sound pretty announcement type in regards to MIDI. Sorry, but I'm getting tired of saying the same stuff over and over and over and over(and over) again. Forgive me for singling you out. It's not personal. On the positive side, at least you're brave enough to at least post and ask for help. I don't mind helping, just right now I had a long late gig(went out before the sun went down, came back as the sun came up...) so I'm pooped out.