You can't import a autocad dwg file but you can import and autocad dxf file. Simplify what you need to import in Autocad and then save a DXF file. Then go to PCB Editor and use File - Import - DXF. Take a look at http://www.youtube.com/watch?v=wTegtW9bPCs
To create a round PCB draw a Circle (Add - Circle).....
There are a few things to remember with the dxf import. OrCad has a problem with some types of lines and files.
I normally use polylines in AutoCad and it is a closed polyline for the board outline. Then save the file as a version 12 dxf.