Add the file to your office library if you have one.
Or any loaded library - i.e. add it to the Archicad library folder if you are loading that.
I believe the SHX file can also reside in the same folder as the DWG/DXF or maybe it is the same folder as the PLN - I can't remember for sure but I am pretty sure it is the same folder as the DWG/DXF file when you merge it.
If it is there Archicad will find it automatically.
If it is not asking you to find the SHX, I suspect it is in one of those folders and it has already been found.
If that is the case then I would then suspect that the cross/hash symbols are not coming from that SHX file.
But something I have noticed in the past.
If you are asked to find an SHX file and you cancel or ignore the request, Archicad will not ask you again when you try to merge the file again.
You will have to shut down Archicad and restart it.
Barry.
One of the forum moderators.
Versions 6.5 to 27
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