First thing you need to do is set up the ports and pins, and do the motor tuning for each axis. It'a a good idea to watch the Mach3 tutorial videos at http://www.machsupport.com/videos/
You can use the built in Wizards to create some simple test code, or enter g-code using the MDI input.
To use a .dxf file, you'll need to convert it to g-code using a CAM program. Mach comes with a limited version of LazyCAM. I personally do not like it, but if you want to try it, I recommend reading the manual http://www.machsupport.com/forum/ind...c,12078.0.html
A much easier program to learn and use is Vectric's Cut2D. http://www.vectric.com/WebSite/Vectr.../c2d_index.htm
If you have more specific questions, feel free to ask.