This dialog lets you toggle a DWG file layer's include/exclude status and choose other options, as described in this topic.
AutoCAD has special handling for objects in the block definition that are associated with layer 0. When a block contains objects on layer 0, and those objects have a color property of "ByLayer" or "ByBlock", the color of the object is determined either by the color of the block or by the layer assigned to the block reference in AutoCAD. When blocks are nested, this color system can get complex.
Selects all layers in the linked file. You can then deselect just the layers you want to exclude.
Deselects all layers in the linked file. You can then select just the layers you want to include from importing.
Inverts the current selection of layers in the linked file: Selected layers are deselected, and deselectd layers are selected.