Fixing CAD Program Paths

I'm often asked to edit drawings that were created in engineering CAD programs. I keep running into the same problem where Illustrator can't fill a closed path completely, and I can't find a workaround yet for this.
Let's say I have a closed path of a basic shape, with rounded corners. (Well, I assume it's a closed path. It sure looks like it to me.) If I select this shape and fill with black, only the corners are filled black. The rest of the shape remains white.
I'm looking for a command in Illustrator CS3 that will correct this path, so the shape will fill entirely with black.
Can anyone comment on this, or offer a fix?
I've asked the engineering guys to look into their Export or Save As settings on their end, but there doesn't seem to be anything. I have been receiving .AI files and also AutoCAD .DXF format files, if this is of any help. I also understand some of these files are drawn in SoftWorks.
Thanks in advance for any potential help in fixing these simple paths.

i've had to bring lots of cad files into illustrator and that's always a drag and non of the solutions are quick.
you can use the plug in Concatenate to join segmented paths - this will require you to do one object at a time for clean results. you can do a whole document but you might end up with multiple merged objects etc. it's also not always clean, depending on your object you might end up with multiple lines on top of each other. but in general it helps a lot.
one helpful thing to do before using it is to get rid of anchor points before joining.
another way i've been working around this is by using the Live Paint. select the lines enclosing the shape you need and paint fill it.

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