Hi crezyoz,
I would point out to start with Getting started document (how to build MQX libraries, create new project and board jumper settings) and run the examples like hello world, lwpgio, lwevent/lwsem . Have also at least bsp library opened in workspace ,it comes handy most of the times.
The selection of the examples depends on your primary target of a MQX usage. Happy exploring and coding !
Regards,
MartinK