Mach3's .dxf importer will soon be removed from the program, and be replaced by their new importer/converter/CAM program, called LazyCAM. Download the first beta and see if it works OK with your .dxf's. If not, send them your .dxf's and they will probably be able to get them working when the release is final. http://www.machsupport.com/LazyCam.zip
Also, for best results, your Mach3 PC needs to be at least 1Ghz.