Hy,
I could not import dxf files. I got the error "file cannot be opened or does not exist".

couple of thing:
1 - please upload the same exact "*.dxf" file that causes the issue. the file you uploaded is in DWG format not DXF. Also please make sure you are importing DXF format not DWG.
2 - Go to the Help->File->Import DXF and make sure your following the conventions for layering and entity type as explained in the document. If you don't follow the Layer naming you won't be able to import any DXF files.
3 - please clarify the version you saved the DXF file at for instance, is it 2018, 2013, 2010 etc.?