I thought I would post my own follow up on this.
I had a solidworks STL file exported.
I downloaded some freeware called MeshLab. I had better luck with the 32 bit version even though I installed the x64 version first, it kept complaining about having visual C++ redestibutable 2008 SP1 and it would only work with that package. Anyway, I imported the STL in MeshLab and then exported a 3DS file, which imported into ZaxWerks.