Here's a helpful link..
http://www.transitchicago.com/maps/rail/rail.html
You're going to be on the Orange Line.. So follow it from the airport icon all the way up to the "loop" (Thats why the call downtown Chicago the loop). Pay attention to the stop names so you have a good idea where you're going to hop off.. It's a very easy train to ride because it just goes in a big circle, and eventually you'll end back up at MDW airport.. You can ride it all day on one fare if you want..