You must first start with your MYM application. Open the data file you want to convert. Then, select the Transactions Register (By Sets) option from the Money item under the Report menu. MYM will display the following dialog.
 
First, in the top left corner, enter the account name. The account name is usually the name of your bank or credit card. Second, click Detailed Report. Third, enter the date for the records you want to convert. Usually, you will want to start with the first day of the year through the current date. Fourth, click Include Name and Address and Include Report Criteria so they are no longer selected (e.g., checked). Fifth, click Disk (Tabs). Last, you can click OK. MYM will ask you for a file name. Use the name of the account and append .TAB to the name to help you track each of your files.
You will need to repeat the above steps for each account (e.g., cash, credit card, and checking) you want to convert.
Important
MYM2QIF will only convert approximately 16,000 transactions in a file. If you are trying to convert several years worth of data, you should prepare reports for each year. Then, convert each report. You can then import each QIF file into your personal finance application.