I do not know about that program. I use EAGLE 7.x and that cannot use DXF natively; however, there a a ULP to import them. I believe later versions have that ability natively. So, if your program cannot import them, check for user addons.
In use, the files are not imported as DXF per se, but rather into any layer one choses. I usually use "Outline." I do not believe they can be imported into a signal layer, because those have other dependencies. I use DXF for almost any outline that must be dimensionally accurate or is complex.