The dxf has Arcs and Lines, select them all then Edit->Join, to produce a Polyline.
Now select the Polyline then, Edit->Polyline->Remove Arcs, use a tolerance value to get a line within the required accuracy (try 0.01 or smaller) as it will now consist of multiple small sections joined end to end.
Rotate the polyline and it should now look okay.
Another way is to;
In Tools->Options->Spline to Polyline tolerance, set a value of 0.001 or smaller. You must save these settings and restart CamBam
Draw the shape as a Spline
Rotate the Spline as required
Select the Spline then, Edit->Convert To->Polyline.