It's the button next to the satellite dish. Dunno why it's not a menu option.

You can open a .CCF file from a Pronto with it. When you find a panel with a button with a learned code, you click the button, and then drag and drop the word "learned data" over on to an MX-850 button. You can then basically import any hex code in to your MX-850 by first using a pronto editor and saving out a .CCF file. The browser doesn't support the newer pronto .PCF format though.