Ah Mesh... STEP and Rhino import only support solids and surfaces... try using the STL format.
Which version of SW and Rhino are you using? In the lastest SW version you can open .3DM (Native Rhino) directly. From Rhino, i've found the acis or parasolid export works great with SW. What kind of data does your Rhino file contain (annotation, nurbs geometry, mesh, etc..)?
I'm using Rhino 4.0 and SolidWorks 2010. My file contains mesh.
It ended up working well using the STL format
SolidWorks is not a mesh modeler. You will want to use Rhino to remodel it to a nurbs model before opening it up in SolidWorks. SolidWorks should be able to open a nurbs based Rhino model directly.
Retrieving data ...