When importing DXF files, use File > Import > Drawing
The drawing should appear automatically, one thing to bear in mind. PartMaster won’t import NURBS curves.
If these are encountered, a report will be shown before the imported file is drawn. To see this report go to View > Notes.
If it reports NURBS then you will have to either convert them to Lines & Arcs before exporting from the originating CAD software or choose Export as Release 12 DXF, this will output Lines and Arcs instead of NURBS curves.