OK, here are some instructions.
You can export family tree data from MyHeritage through the FamilyTreeBuilder software. (I don't know if you can do it directly from the website version, but you should be able to open a web tree in FamilyTreeBuilder.)
In the File menu, select "Export GEDCOM". You will be led through a fairly long series of menu prompts. Create a descriptive file name, and tell it to put the file in a folder on your computer where you can find it again. When you are asked whether you want to export the whole tree, or just selected people, choose the "selected people" option. For your first GEDCOM import, decide on a modest-sized branch of your family tree to start with. I suggest no more than 20-25 people -- maybe this would be all of the descendants and spouses of one of your great-grandmothers who you haven't added manually. (Don't start with a larger number, or the import process will make you crazy.) Then select that person's name from the list you are presented, and choose "Descendants and spouses."
After you've created a Gedcom, you can go to the "Add" menu here and chose GEDCOMs. You will be walked through the import process, which starts with finding that Gedcom file in the computer folder where you saved it.