It sounds like you've done everything right so far
The starting points I'd typically recommend are the "
Starting Your Project" page and the "
ANT AN Getting Started with ANT PC Development" document, but I think you already have the basics covered.
As a sanity check (to make sure the MIO Link is actually broadcasting ANT+), is to set up a channel in SimulANT+ to simulate an HR display, and then see if it can find the device.
As long as you've configured a slave channel, set the ANT+ network key, wildcarded the transmission type and device number, set the correct device type, set the RF channel, and set the channel period's to match the HR device profile, you should be set.