If VDJ doesn't have a method of outputting MIDI for triggering and control, then I really don't think so.
Are you trying to get VDJ to be a source to "Drive" MyDMX to do a synced up light show to music? If so, there are some ways to do it, bt they just aren't really graceful.
I think Jingles would recommend the Compu Live package. It seems to be more oriented towards a somewhat more bridgable architecture to allow other programs to tie into it. This would mean that it can be a virtual in the box MIDI device, which I think in turn enables it to be used to sync to music. Now, as far as a music only program, and forgive my ignorance on what the VDJ software entails, I read it more as a "Windows Media Player", but no doubt with many extra DJ-specific features. In other words, relatively simple in general terms. I'm not trying to bash the VDJ software. I'm thinking more along the lines of an audio production package, such as Sonar Home 6, which at $100 or so, is a decent introductory package that integrates multi-track audio and MIDI and would hence for sure interface with CompuLive easily and cleanly.
MyDMX has a very limited integration of MIDI. It works, that's good. But for syncing lights to music, there are better solutions.