.shx file missing?

So the first time you opened the file, it did not ask you for this shape file, but now it does?
First you need to establish whether this .shx file is a "shape" file (by AutoCAD's definition) or a font file. When you start up AutoCAD, check the value of the sysvar FONTALT. If it's blank, set it to a known font, like "simplex.shx"
Now reopen the DXF, if it still complains about the missing .shx, then it's looking for an embedded shape file. Since it did not ask you the first time you opened the drawing, then either you HAD this file then, or the DXF was modified to require this file now.
Depending on the anwser to that should tell you where to start searching for this SHX file.
Have you tried the PURGE command? If you purge whatever is referencing this shape (maybe a linetype), then you can purge the shape also.
Another option is to edit the DXF file (assuming it's not a binary DXF), to remove the shape reference, but this requires some knowledge of the file format, and what is referencing the shape.
If you know someone with full blown AutoCAD, get him the file and download Superpurge to "hard purge" the shape out.