DNx36....meaning it's ALREADY Avid media. IN this case, you put those files into the AvidMediaFiles folder>MXF>1...or 2...or empty numbered folder. Launch Avid...it'll scan that folder. Then drag the .mdb file from that folder into a new bin.
Avid media can't be linked to like camera masters or other media types. It has to be loaded this way, or with the Media tool