The cages sit on top of the MDF, then the correx sits inside the grids and on top of the MDF. The correx is made into a box shape, so it comes up the sides as you can see in the top cage. I used to use lino but I found that the correx and the lino together sort of sweated and it smelt, since using MDF, I have not had a problem. It doesn't have to be MDF, another type of wood, an old coffee table etc is fine. Just to point out though that my pigs dont nibble the MDF, I wouldnt use it otherwise.
I line the correx with newspaper. You can then either use fleece/vetbed. Vetbed is great as you change the paper underneath, sweep off the poops and put clean newspaper down etc I change the vetbed twice a week. At the back of the cages where you can see hay, I use aubiose on top of the newspaper, then hay. In my top cage which is the largest, I use newspaper, aubiose and have a big pile of hay in one corner.