Go to your CIW window, then pick File>Import>Stream. There you can search your *.gds file with the Browse button for the Input File. You can also specify where to save your output layout.
I've tried that but I was not able to browse the location of my .gds file which is on the Windows platform. Is there any way to save the .gds file in the Cadence environment?
Is your .gds file in a Windows OS partition ?
If yes, you should check if that partition is a NTFS one for you to be able to open the .gds from a Linux environment (where Cadence is installed) ..
By other hand, you simply can copy it in one of your Linux partitions (for example in your linux home directory) ..
Regards