Disable any power savings stuff in your Power options control panel. If a laptop, run off wall power.
Also, run right off a USB port on the computer, not a USB hub(powered or otherwise).
Connect your gear as follows:
Wire all lights using DMX cabling.
Plug the lead from the first light back to the MyDMX hardware.
Plug the DMX hardware into the computer's USB port(the computer is already started and was booted with the hardware NOT connected).
Ideally, use an Elation OptoBranch/4 or Branch/4 type spliter/repeater for protecting your MyDMX from your lights and vice versa as well as providing some signal strength boosting.
Lastly, power ON the computer with the hardware disconnected. After start-up, plug the hardware in. Then launch MyDMX.
I rapidly switch scenes quite frequently(like, if I choose a scene and decide YUCK!) and have no problems.