I believe you need to have some additional software that can convert the files to stl. I'm not sure what software of were to get it either. Maybe to a google search for "dwg to stl" and see what hits you come up with.
You can take DXF straight into eCabinets, the best place to do this is in the shape manager, not sure what you are trying to do. If you are wanting to take a 3D image into eCabinet the file type which I use is .skp, then I save it as a stl file which can be opened in the part editor.
Make sure you save it as different objects, for example if you are creating a chair save the legs seperate to the seat pad. This way you will be able to edit different colours in the part editor of ecab. Open one part change the colour then open the second part and change the colour.
If you need a source for your .skp files the best I can find is the google 3D warehouse, just go to google and type 3D warehouse.
This might not be what your after but hope it helps anyway.