Prime it well, you should only need one coat. MDF likes to soak up paint though, so just make sure you get good coverage.
Don't use spraypaint... it will look terrible. If you have a GOOD paint gun then spraying is an option, otherwise steer clear. Sand between every coat (primer and paint). Brand doesn't matter particularly, just pick if you want flat, semi, gloss, etc. That should be it, make sure you get a good foam roller made for smooth surfaces. I've even seen one that advertises "extra" smooth surfaces, but that is probably just marketing.
Good luck