Thanks to crossroads http://home.europa.com/~keithr/crossroads/ I found if I convert a Blender .dxf file into wavefront .obj format in crossroads, I was able to load it into ZBrush as long as I turned Texture import off. Yippeee!! In case your wondering why I’m happy about this, it means I can do some models for use for ZBrush on my Pocket PC.
I don’t know if this information will be useful to anyone other than myself, but I posted it just in case.