||"DTM" is a generic term that is often confusing to use b/c it can describe many types of formats of data representing surface information, from Rasters (cells) to Vector feature classes (points and lines) and then also for specific types of data (GRIDs, USGS DEM ASCII files, a TIFF, etc.).
Soooo, what kind of data type do you have in the dxf file? I suspect it represents the CONTOURS of the surface, e.g. is the feature type Polyline or some other line feature?
You can use Contours from a CAD file directly in ArcGIS with the 3D Analyst extension to create a TIN surface. You don't have to convert the CAD drawing to a geodatabase or shapefile feature class, first, but that is also an optional first step.
You will first have to define the Coordinate System information for your input CAD features. tip: The 'Create TIN from features' tool doesn't like it if the input data has no defined projection.
Next, refer to http://webhelp.esri.com/arcgisdesktop/9.2/index.cfm?TopicName=Creating_TIN_surface_data_from_vector_data
For Help on TINs and creating them in ArcGIS.
The Create TIN tool can be found here, as well:
If you have breaklines, spot elevations, and other surface defining features -- whether they have elevation values or not -- you can use them to help build a nicer surface for your TIN.
If you wish to create a Raster data type from the Contours in your CAD file, then you can use the Spatial Analyst > Topo to Grid tool found in the Spatial Analyst > Interpolation toolset. Read more here: