So I took a look at your file and have a few thoughts. First of all, this figure would be much easier and less work to just create it from scratch in Illustrator. But I’m guessing this is just an example of something more complicated that you would have trouble doing in Illustrator, so, moving on.
The figure “5” consists of a number of closed and stroked, filled paths as well as open paths, that are arranged to form the letter. If your goal is to fill the letter 5 with a color and have a consistent one-piece stroke on either side then you have a lot of work to do.
First, there were at least two copies of the figure 5, which you can see in Outline view. Select the top one and move it aside and you will see another. Delete the top one.
What remains is a collection of closed and open paths.
The open paths can be linked to each other with the Join command, but you can’t link them to the closed paths. I guess what I would do is, using the Direct Selection tool (open arrow), select the end paths of each of the closed paths and delete them, then join the remaining pieces to the other open paths. Below I did that, then filled the inner path with a blue color:
But it’s a lot of work for something that still looks a bit choppy (all the curves are straight line segments for instance). If I were you I’d use a different workflow. Have you tried opening the DXF directly in Illustrator? It might give you better results.