Altium claims in this tutorial (and also here) that it can import P-CAD's
I did a quick test, which was successful. I have downloaded a P-CAD library Microchip.lib from here.
in Altium. File → Import Wizard
title: Select type of files to import
P-CAD Designs and Libraries files
title: Importing P-CAD designs
Don't add any files (leave the list empty). You only want to import libraries, but not designs. I think, this is where the O.P. got stuck.
title: Importing P-CAD library files
Add library(ies) which you wish to import.
I clicked Next in all of the remaining wizard pages, accepted defaults.
After I clicked Finish, Altium created a folder called
Imported Microchip.lib inside are
On a different occasion, I have also successfully imported P-CAD libraries in
.d format into Altium (downloaded from here).
This also worked for importing OrCAD libraries into Altium. (Different choice for step 2., of course.)