In this window (picture) give cell name as your wish.
Then check all the DXF layer names("make tick mark at the left corner").
Then click ok.
I took your advice and tried that but I still don't see the right board outline.
Have you turned on all these dxf layers in display control?.
Can you give some snaps or dxf file to me..
this import creates a drawing cell.
You must fill out the field "DXF Cell Name".
You must also switched on the imported DXF-Layer on layer mapping.
After import you must create an closed polygon from the imported lines.
This polygon you can convert to board outline.
Hope this helps.