You cannot load an Orcad netlist into DXP2004. You first must convert the Orcad netlist into Protel or Tango format. You can do this either manually in a text editor, or by use of a software tool such as RSI Omninet.
Once you have the netlist in Protel format, you use the method described in: **broken link removed**
A better way would be to load the Orcad .DSN capture file into DXP, clean it up to make it a valid DXP schematic. Then your netlist would be produced directly from the converted schematic.