The "live" way:
Plug your MIDI Controller into the MIDI IN on the mpc-500.
Goto MIDI/SYNC (mode, pad7)
You will now se a parameter called Receive channel, set it to ALL
Turn the DATA wheel to the right, now it says Soft Through, set it to AS TRACK
In your MIDI controller assign CC 10 (PAN MIDI DATA) to a knob/slider
Select the MIDI channel you would like to sent to, and turn/slide to see if it works. The data is sent through the 500 into the Sound module thats on the selected MIDI channel.
It can then be recordet into the MPC, but you need to be on the track where you want to record. Just throw your hand (gently) at the record button and turn/slide the knob/slider, Remember that the TIMING CORRECT controls the resolution!
The "step edit" way:
Select your track, then goto the step edit mode (mode, pad11).
Press the right and left locate button to go to the spot where you want to put the parameter.
Move the curser to STEP INSERT and turn the data wheel until it says INSERT.
Then move the curser to the PAD field and revolve that data wheel untill it says CONTROL CHANGE. Hit DO IT.
Now you will se somthing that would look something like this:
CC :37 :00
The CC just mean that this is a Midi Control Change.
The number 37 is the feature and
the 00 is the ammount of that feature.
To pan all the way to the Right it shold look like this:
CC :10 :127
And all the way to the Left:
CC :10 :00
As simple as that, here is a link to more standart MIDI features:
http://75.126.195.239/showthread.php?t=1853
Good luck!