If You want to import Your object from dxf, You can use two ways:
1. Import 2D closed polyline as 3D-object (File/Import/DXF). During importing You should apply material, elevation and thikness for extruding polyline, after that You have 3D object in components tree.
2. Import 2D opened polyline as Curve object. Check the necessary options in import dialog (uncheck 'Close opened...' and check 'Import as curve'). After that You can create 3D object from imported curve immediately in CST by extruding, lofting etc.
If You want to import 3D objects from AutoCAD, You should export it (not 'Save As'!) to SAT file. CST use DXF format to import/export only 2D objects.