Just got the garmin 800 and previously used MapMyRide. I'm trying to set up segments and can't find the link on web via garmin connect. Any help or screen shot would be appreciated.
You need to be looking at the Details page for an existing activity. If you look below the map on the right, you should see a link titled + Create Segment. Click that link to go to the segment editor.
You don't download it. The Garmin website has two views, modern and classic. The classic view is available to everyone. The modern view is still being developed and tested, and hasn't been made available to everyone quite yet. It sounds like you are one of those who don't have access yet.
At some point in the future, you'll login to Garmin Connect and you'll be given the option to use the modern view. Only then will you be able to use the new features.