what version of the nord lead do you have? and which os is on there?
i just read the whole (!) manual for the nord lead 3 for os 1.2 in less than ten minutes and all the midi functions are explained in there!!!
just find out if your nord can play more than one program at a time and how to set different midi channels for each program. i think it is called performance mode on the nords.
if you want to change the programs from the mpc you have to use the "no. 1" field to scroll through the programs on the nord.
example: you have your drums sequenced and on the next track you want a bass. select "drum" make it "midi", let "1A" at "1A" if your nord is on midi A, goto "no. 1" and change the number till you hear the bass sound you want to use, record the track. now on the next track you want some horns. repeat the steps above but set "1A" to "2A" and use the "no. 1" again to find horns. etc...
to make this work you have to set your nord to receive program change messages.
peace jo