You can try to open the file as a library part, which also makes sense as you would be placing these rocks as objects:
1. Go to File>GDL Objects>Open Object...
2. In the Open Library Item window, change "Enable:" to DXF File
3. Browse to the dxf file, select, and click on Open
4. The file will open as a GDL library part (this may take some time, depending on the file, similar to opening a dwg file)
5. Then go to File>Save As... to save the library part with a new name into the appropriate library
6. You can now place this part in your project using the Object Tool
If this does not work, then you may need to find a way to translate the file into a format ArchiCAD likes.
Side note: based on the web page description, these objects could contain many, many polygons, which will slow down 3D generation times, so be judicious when setting the parameters of the rocks.
Rather than trying to load this as an individual part, create a new folder, save the part into this folder, go to the Library Manager and add this folder to your loaded libraries, and click "Reload", then in the Object Tool dialog box, navigate to this folder and see if the part shows up. If not, then I'm out of ideas. Hope this works.