Hi,
you can't directly import a .dxf file into Mach, or in fact any CNC software solution.
Mach consumes Gcode which is a sequence of movement instructions. The program that converts a design,
say a .dxf file, to Gcode is called CAM, Computer Aided Manufacture, and that file is
further post-processed by a what has been shortend to ' a post' to adapt it to a particular machine Gcode dialect.
May I suggest that you download a free copy of Fusion 360. You should be able to import a .dxf file into Fusion rather than doing
the CAD directly in Fusion and thereafter Fusion should produce a toolpath as represented by Gcode which can in turn
be consumed by Mach.
Craig