XLR cables, by NATURE, are balanced. XLR cables are typically for 600-ohm loads, or rather 600-1000 ohm loads(microphones). The isn't isn't really compatibility, because in a pinch you COULD(but shouldn't) use microphone XLR cabling for a short run lighting run. I do NOT recommend this.
AND THE REVERSE is not true. Using a DMX/lighting XLR cable on a microphone will turn your signal into ca-ca real fast. The loading is not right and the sound will just have all the life sucked out of it.
This brings me back to a long-standing issue I have. We have too many standards, such as the CANNON XLR format.(or is that Canon? I can't remember). We have 3-wire for microphones, 4 wire and 2 wire options largely used for video power, and even 5 position, which is/was mainly used for lighting. Then, to save money, all these "DJ-oriented companies" decided to make DMX use 3-pin wiring. It has saved these companies millions. Even though only 3 wires are being used in that 5 wire conneciton. So many people, myself included, ASSUMED we could just use XLR microphone cabling. Well, I've learned and I've moved on.
I agree with what Shugga is saying. It is sounding like a bad MyDMX dongle.
MyDMX WILL drive a regular microphone XLR cable. I know, I've done it, more for testing than anything else because I have all real DMX cabling for my lighting. I ran it down my audio snake(200-foot whip, via a patch panel at FOH and then into an XLR out at the stage box), then ran maybe 50 more feet of cable. WITH terminate. Worked fine.
DMX is generally incompatible with unbalanced cabling.
So, short of uninstalling, rebooting and re-installing, then rebooting again, then hooking up the dongle post-boot and then launching MyDMX, i's a bit iffy where the problem is. You could make a cheap DMX tester using a pair of LED's and a couple fo 230-ohm resistors. I recommend using 2 LED's and not the single dual-color LED's.
But so far it all points at perhaps a bad dongle or maybe a bad USB cable. Try a better USB cable. MyDMX does NOT marry/mate itself to any ports, so you should be able to move it around.