Clean your MDF door. The high density of MDF means that it produces more sawdust than other kinds of woods. Use a shop vacuum to remove large pieces of dust. Dust the door with a tack cloth to remove all of the fine dust.
Place your unfinished MDF door on a flat work surface. Lightly sand the entire door with 150/180-grit sandpaper if you plan to use a high gloss finish. Sand with 100/120-grit sandpaper if you intend to use a matte finish. Pay close attention to the cut edges because rough edges lead to a rough-looking finish.
Apply an oil-based stain to your MDF door with a thick bristled brush. Start from one end of the door and brush the stain on with long strokes. Slightly overlap your rows. Vary the length of your strokes and overlapping to create a wood-grain effect. Allow the stain to dry thoroughly. Repeat this process for a deeper color.
Finish your MDF door with a coat of clear urethane. Use a urethane product with a gloss finish for the most durability. Select a semigloss or a matte urethane product if you don't want a shiny finish. Apply the urethane according to the instructions on the product's label. Allow the door to dry thoroughly before hanging it.