I bought a tin of 'MDF sealer' from a local place the other day, which is supposed to seal it enough to accept the same kind of paint you'd use on wood... it's completely useless, and produced the same result as one might expect from soaking the MDF in water for ten minutes, with no noticeable benefits when subsequently painting. So don't buy that. ;-)
(I'm having a go with either PVA glue or acrylic lacquer next...)