Russ, he imported a .jpg image into AutoCAD and saved it as a .dxf file.
Mishawaka, that's the problem. You can't do that, with ANY CAM program.
When using a .dxf file with a CAM program, it should really only contain lines, arcs, and circles.
Can LazyCAM import jpg files directly? Depending on what you want to do, that might be your best bet. If, you want to carve it as a 3D object.
However, if the image is a line drawing, you probably want to use a raster to vector converter to convert it into lines, then save the conversion as a .dxf
Personally, if it's a line drawing, I import it into AutoCAD, then trace it manually. Results will be much better. However, it sounds like you know very little about AutoCAD, so that may not be an option.
I recommend posting the image here, so we can get an idea of what you're looking to do, then steer you in the right direction. Most likely, that doesn't involve AutoCAD.