Generally speaking, when I have a paint question, I'm not sure of, I go to a local Sherwin-Williams store and tell them what materials (the MDF in your case) I'm using and what sheen finish I want.

If you don't want to do that, then as others have said, an oil/solvent base primer is what you want and both Zinseer and Kilz make it specifically for MDF. If you have to deal with edges, it's a good idea to use spackling on the edges, sand smooth then prime. Edges of MDF are porous and soak up paint and don't always give you a good finish.