There are 2 different versions of DXF files. A 2D and 3D version. It looks like the conversion process converted the 3D file to a 2D file. I think all you have to do is have the DWG file converted to a 3D DXF file. Ask the person that converted the file if he actualy converted to a 3D DXF file or just exported it as a DXF file. Some CAD programs give you an option as to what type of DXF file you want to export.