I posted my problem with this unit in another thread, but I am reposting here to help anyone who is scanning the post titles.
I have an MX-500 and could not get the PS3IR-PRO to pair using any of the Sony DVD set-up codes. I was about to give up when I dug out an old Comcast cable box remote that can be set to control a different device. I set it to Sony DVD and everything began to work as advertised.
Even now that the PS3IR-PRO is paired with the PS3 and can be controlled with the old Comcast remote, the MX-500 will still not control the PS3 with any of the published Sony DVD codes.
If there are any MX-500 users who have found a working set-up code, I would love to know it. Otherwise, you will need to use a different remote.