You'd need the harness, bulbs, ballasts, etc. from an RL, TL, etc. That's assuming that the ends of the plugs are the same across vehicles to make it a plug-and-play installation. I know that people have put TL/CL HIDs in Accords, so the concept should be similar with the MDX.

I find it surprising that a vehicle that nice that costs as much as it does doesn't come with HIDs.