What you need:

ArtNet capable DMX adapter (eg. ENTTEC ODE) or ArtNet enabled software running on another console.

1. Setup DMX receiving options in the VDMX Preferences.

Enter the number of input ports you'll be working with for each one set which ArtNet Universe it should listen for.

Click the 'Auto Setup Inputs' button to set the SubNet and Universe addresses of the input ports to match any sending detected ArtNet nodes.

2. Triggering media files with a single DMX channel.

Inspect a media bin and under the 'Control' tab set the 'Trigger By Index' (uses DMX value 0-255) or 'Trigger by Float' (scales 0-255 DMX value to number of clips on the current page) row to the DMX port and channel that will be used to switch between media files.

3. Controlling Composition, FX and other parameters.

Any slider, button and pop-up menu in VDMX can have its value set by a DMX channel like any other data-source. More information about setup can be found in the Introduction to Receiving MIDI, OSC and DMX tutorials.