Michelle.
It appears to me that the entity you have selected as seen in the screenshot is a block reference. You may try to explode the entity by using the EXPLODE command so it is broken down into its component entities (i.e. lines). By selecting the object and using the LIST command or the Properties palette, you can check what is the type of object.
If you are trying to edit the exported object, you do not want to XREF (externally reference) the exported drawing file. Either work directly in the exported DWG file, or, if you wish to preserve that as-in, work in a copy of the file. If the exported file does not have your desired AutoCAD settings, you can start a new file and use the INSERT command to insert the exported file a block reference, and then explode the block reference to get at the exported object directly - OR - use REFEDIT to edit the block in place, as CADastrophe suggested.