My waist is 37 in , Hips 43 inches and bust is 42 in. Which size would go best for me as this is my first time ordering a corset?

It sits right on top of her hips and right under the bust so those measurement aren't so important to this corset type. It's the waist corset so the suggested size from the company is a 4x but that will be tight if you want it loose get an 5x you would just tighten it entirely that will allow you to adjust it for what ever outfit you might wear with it if you wanting it just for waist training get the 4x

What's the triangle thing it came with?

Throw out the triangle on the string.

Has anyone worn this under a body con dress? Other corsets I have stick out too much at the bottom so it makes a weird silhouette under tight dresses.

This is really an exterior corset, it has too much "texture" to be worn under something, in my opinion.

So i have zero idea what to get but my pants size are 11s and my bra size is 36c I'm 5'8

Normally you buy a corset 3-4 inches smaller than your waist measurement. For instance, I have a 28 inch waist so I buy 24 inch corsets. Also, you want to sit down and measure under the bra band to the top of your thighs. As I am short, the beautiful Victorian type are too long unless I go with custom made. I normally get one around 11 inches or smaller in front busk length (waspies are made to just nip the waist). I find these more comfortable for me.