Beginner question, first radio and antenna, hear just static...

[KO6WB]

For learning CW the 20 meter band is not the best place for that. As some have mentioned the 40 meter band is good almost 24 hours a day. There's short stuff during the day and longer propagation at night. There are CW stations at 7.114Mhz that send at a pace that is easier to get used to and some that take it a little faster. Most of the folks I've heard on 20 meters go at a pretty good clip. You can still learn to copy at the faster rates by picking out letter after letter and soon you'll be copying words. The things you will most likely start to copy are UR RST, NAME HR, QTH, K, R, SK, AR, 73, TU, TKS . After that it starts to get easier in steps. As I've said the 20 meter band is not the best place to start learning code. You'll also start to separate the different types of keying on CW. The straight key will have a tad of character, a keyer will be a bit more precise, a bug in the right hands works well (the problems there are just about no right hands) and there are the keyboard folks that send code just like a machine. Sometimes the keyboard folks get a little chatty and start using longer words and more of them.
One of the things you can do on 20 meters is tune in the ARRL code practice sessions and since they are sending perfect code you will be able to pick out more and more characters and words. It's a good way to help you along. Just go to the ARRL web site and get their operating schedule. It'll give you times and frequencies so you can be there at the right time and with the dial on the MFJ-9020 you'll have to hunt a bit to find them.
Good luck, welcome to Amateur Radio and to QRZ.
73
Gary

[K0RGR]

Listen around 14.047 - that's where W1Aw operates with bulletins and code practice at various times of the day and night. http://www.arrl.org/w1aw-operating-schedule They usually have a booming signal, and you should be able to hear it.

The MFJ 9020 should work fine for you, but it doesn't have an S meter, so it might be hard to determine what the noise level is around you.
A high noise level will mask the weaker radio signals, and these days, a lot of them are weak because more people run QRP. Getting your antenna further from the house and power lines might help in that regard.

Finally, it's after Field Day and it's summer time. Ham radio in the daytime tends to be sketchy, and it always has. We call it 'the doldrums'. Higher atmospheric absorption levels make it more difficult this time of year, and people are just out doing other things.

[KH2G]

A fast listen for WWV on 5, 10 and 15 MHz will tell you if the radio is working on receive and if a nearby band is open. It has been mentioned that at different times of the day/night different bands will be open (or closed).
Have fun
Dick KH2G

[K8JD]

He can"t listen on 40 or WWV because his radio only covers the bottom end of 20M !

There have been enough solar flares and generally poor conditons that only the guys with 100 ft towers and big Yagis are making all the contacts on 20m.
I have listened on 20M CW and during the daylight hours there should be lots of signals but they are just not there now !
I have made more CW contacts on 40 and 30M lately and E-layer SSB contacts on 10 and 6M with low power !
I have Yagis on 10 and 6M but just a wire double Zepp on 30M and Extended double Zepp on 20M (same antenna).
Keep listening !

A fast listen for WWV on 5, 10 and 15 MHz will tell you if the radio is working on receive and if a nearby band is open. It has been mentioned that at different times of the day/night different bands will be open (or closed).
Have fun
Dick KH2G