Do you mean a .msh file?

On the project page add a Component System -> CFX to your project. Double-click Setup to open CFX-Pre. From the file menu, select File -> import -> Mesh. Navigate to the directory where your mesh file is. Typically in Workbench it would be created to ProjectName\dp#\SYS\MECH or something similar. Select the file and make sure you set it to the right units (although scaling in CFX later is easy too, just don't forget).

Personally I would avoid Workbench most cases. Just run CFX in stand-alone mode unless you have a reason not to.