Assuming it's the right type of pedal (foot controller rather than foot switch), make sure you plug it into the "FOOT CONTROLLER" jack.
Unfortunately, the more complicated the keyboard, the more complicated the options are, which means that using a foot controller to control modulation isn't as simple as one would like.
In this case, you can decide which Performance parts you would like the foot controller to affect, so set "FC1" on or off as desired in the Receive settings for each part (page 49 of the Reference Manual). If you aren't sure, just set it on for all of the parts and see what happens, then turn it off for any parts you decide you don't want it to affect.
You can also decide which controllers and functions you want to use for each Voice (page 52 of the Reference Manual), so select the first Voice you want to affect, choose a Controller Set (say, the first one), set the "Source" parameter to "FC1," set the "Dest" parameter to CC number 1 if you want the foot controller's signals to be read as Modulation messages, and set the "Depth" parameter to the desired level (e.g., +63 would be maximum effect). Repeat as desired for the other Voices you want to use the foot controller with.
You can decide how you want the controller to behave when you switch from one Voice to another (page 66 of the Reference Manual). The default setting for a foot controller seems to be "Maximum" (for an expression pedal?), but for the modulation wheel it's "Minimum," so I'm not sure about this one. You could start by setting the "CtrlReset" parameter to "Hold," and then try changing it to "Reset" if "Hold" doesn't behave as you'd like.
You can also set the foot controller's assignment in the system as a whole (page 67 of the Reference Manual). If you want to use it for modulation, set the :FC1" parameter to "1."
Disclaimer: I have no personal experience with any of the MX models, and have simply referred to the manuals, so I've no way of knowing how useful or correct any of the above comments might be!
