After scratching my head for a bit I came up with nothing, so I did a little research for you and have come up with this...
The .MDX file is one file itself (there are previous extensions for this file type that consisted of several files but they condensed them into one file, which is .MDX) and should be used accordingly. You can use Daemon Tools to open it, but I don't know why it's not letting you. You may have a problem with your registry?
Anyway, I found a site that gives a small table of the available programs you can use to open it (Daemon is on here too). List of Programs
Sorry I couldn't be of any more help...hopefully this does it for you though! Good luck accomplishing what you want.