I rarely deal with imported files, but it's been several hours and no one else has chimed in, so I'll take a stab at it. I can think of two things to try.
1. Set up a new layer with the desired color and move the notations into it.
2. If it's not already active, bring up your Line Format toolbar. Highlight the desired notations and try to change the colors with it. I'm not sure I've ever used the Line Format toolbar to change colors of notes or dimensions, but if the Layers won't work then it's the only other thing I can think of to try.
If neither of those work, can you post the file? I'm at home now and don't have SW here, but if
Sean, SolidWorks has rules of precedence for colors similar to AutoCAD.
To sumarrize, you have a layer color assignment that can be overridden by selecting an entity and explicitly applying a color to it. It sounds like this is the way colors are assigned in your dxf.
You can change the solidworks color to reflect the layer assignment by highlighting one or more (or all) objects, clicking the Line color tool on the line format toolbar, like Glenn was saying and clicking the checkbox labeleled "default" The default color is the equivalent of the bylayer color in AutoCAD.
Take a look at that and see if it helps.
That worked, thanks. Thanks to all who answered.