When I try to extrude dxf files that I have imported from adobe illustrator, they extrude but there is also a rectangular panel attached to the extruded shape
Can you please post the DXF file? That would help to see what's going on but it's most likely some flaw in the curve structure like the curve criss-crosses over itself rather than making a fully clean boundary.
Also it may be better to save as a PDF or AI v8 file to move over, it could be possible that using DXF export out from Illustrator would convert things to all line segments instead of keeping the actual curves intact.
You can delete that "rectangular panel", it represents the boundary of the sheet / artboard in Illustrator with a specific size, e.g. A4 - A3 etc. on which the original drawing was created,
