Solidworks - Convert surface object to solid

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Job Description

I need some one to show me how to convert a surface object to a solid in Solidworks.

The surface object has been modeled in 3d Studio Max.

I need to open it as a Solid object in Solidworks, so I can apply extrude cuts etc.

The file supplied is a DWG example that has been exported from 3D Max. I can open this in Solidworks but cannot convert it to a solid. I can supply other files if need be.

Screen recording would be great.

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