When you hit Ctrl-K to open up the Configure Hero window, the screen that pops up will have generally 2 columns. On the right side, you'll see a list of sources, sorted by book name. Click there and scroll through to make sure that "Mythic Adventures" has a check in the box to its left, that means the source is enabled for this character. If you see the source, but the box next to it is greyed out, that means you don't have access. In that case re-activate your license if you haven't done so since you bought Mythic Adventures.
Now, assuming you've got the source on, look to the left column of the screen. At the top there are two fields for users to enter text "Hero Name" and "Player Name". Below them are a series of up to 4 circles, with labels next to them for PC/NPC/Kingdom/Army. There may be fewer than 4, depending on what you have access to. Anyway, these are "radio buttons", which means when you click on one, all others in the series are turned off. Below those radio buttons there should be a white checkbox, to the right of which is the following text "Mythic Character?". Check that box, then close the configure hero window. Now you should see the "Mythic" tab among the other tabs along the top of HL. It should be right of any class tabs, and left of the Skills tab.
Does that set you right?