Although priming is the most important coat, Boolders, it also depends on what you're finishing with.
Because of MDF's porosity, emulsion can be put on in the same way that plaster is painted. A "mist" coat to start with, then following coats.
For other finishes, an all-purpose primer is just that. To use an MDF primer as well would seem unnecessary.
It should say on the can what surfaces it's suitable for. Both Ronseal and Dulux multi-surface primiers state they're suitable for MDF. Otherwise, go as above.