Hmm, what software do you have access to ?

As far as I can see the big problem is that dxf files are purely vectors and surfaces. They are not actual solid shapes.

A program like autocad would bhe able to import a dxf file and export it as a solid cad file which you could convert to stl (autocad should be able to do it as well - but I haven't played with it for a few years).

Fusion 360 - which is free if you tell them you are a student - should also be able to do it.

But basically that's the main issue - dxf is vector and surfaces and you want vector and solids.

Actually sketchup, should be able to do it as well. It's not ideal but the stl export option does seem to have improved quitea lot in recent years.