Offhand, it sounds like one of the following.
-you're inserting the DXF as an OLE object instead of a drawing. Use Insert==>DXF/DWG instead of copy/paste to import the DXF
-you're referring to the dotted border that surrounds the view when the DXF is imported. The view is created automatically to make it easier to move around the DXF graphics and the dotted border doesn't print. If you don't want it to create the view, then use Tools==>Blocks==>Insert and change the filetype to DXF. This will bring in the drawing as a block reference which you can drag around and rescale. When you've got the block positioned and sized, you can explode it. It like this approach better because text scales more predicably
-you're drawing does have a border and it's on an off or frozen layer that's currently on in Solidworks. Open the DXF in draftsight or AutoCAD and delete the border entities.
Actually I'm using Insert DXF/DWG.
I will try inserting it as a block as I do want to explode the block and edit the information.