AutoCAD files (DWG and DXF) are written in raw 'units' - if mm is used in the dims etc it's an 'overlaid' thing. If you work in m, cm, mm, feet or inches it doesn't matter - since it's all internally consistent. In the UK architects work in mm but surveyors in m - thus you'll have to scale up all site surveys by x1000 !
As Gaieus says you need to tell SUp what units the imported file had assumed under Options. In your case mm. The default is inches - thus your problem. It's also a good idea to ignore the CAD origin as SUp falls over if geometry is miles from the origin.
In passing - you could also change the normal/default template you use to a mm metric one. That way whenever you start a new model its units will be set to suit... Open an empty file and set it up as you want and save it into the templates folder. I have my units, dim/style, text/font, location/north, layers, scenes, styles etc all set up so it's one less thing to think about while modelling...
