You are trying to place the DXF drawing on a mechanical layer?
There are two issues here:
One, there are two import commands on the file menu:
You want the top one.
Second, I've seen this issue with scaling errors. You can make your drawing 1000x too large, or 1000x too small very easily, depending on some bizarre vagaries of how your CAD software exported the drawing. Basically, DXF/DWG files don't actually define what the unit they use is. As such, if you export with the unit set to inches, and import with the unit set as mils (the default), your entire drawing will end up squished into a point:
I've also had much better luck with DWG import rather then DXF import, for reasons I don't fully understand. If you can export your drawing as a DWG, you may have more luck.