What is the file extension you are trying to import? As noted above, SB does not recognize all vector formats. If you can open the file in Cadworx, can you then save/export it as a different format? EPS would be your best bet, although if given the option be sure to select the older version of EPS. SB does not work with the latest version.
Another option that I have done, is open the file in a different program, then do a select all and copy then paste it into SB. This does not always work but is worth a try.
Lastly, that screen you're looking at, if you have the preview option turned off, or the files are huge, there will not be an image there, but there should be the name of the file that you can select and open.