NOTE & DISCLAIMER: this is probably not the official way of getting this to work and any system loss or damage of any kind is your responsibility.
1. Check to see if the translation software is installed. This will be in a directory, usually on C:, called ..\ugs\dxfdwg. If that directory doesn't exist, then you won't be able to import anything.
2. If this directory does exist, see if there is a file called dxfdwg.exe. If using MS Windows, double click on this file. If there are any dll files missing it will say so and you should be able to copy them into the dxfdwg folder. Once you have all the files you require, no more error messages will appear.
3. Copy the dxf or dwg file into the dxfdwg folder and then open a DOS window. Find your way to the dxfdwg folder in DOS (!) and to translate the first file, test.dxf, for example, type the following:
dxfdwg i=test.dxf o=test.prt l=test.log d=dxfdwg.def <Enter>
4. If works correctly, then the screen will fill up with a load of full stops and notify you of any errors or a successful translation.
5. Open the part in UG and select: File > Import > Part... > <OK> > <Import from OS>
A browser window will appear; navigate to where the translated file is stored, highlight it and press <OK>.
Reset co-ordinates to (0,0,0) both in absolute and WCS systems and press <OK>.
Your drawing should appear.