Converting a Visio drawing into CAD (.dwg)?

Please excuse my total, obvious, annoying, etc. ignorance, as I'm just exploring these topics. I'm not a CAD expert and don't have any experience creating CAD drawings. However, I am perfectly capable of creating regular 2D drawings of all sorts in Visio.

Now, the issue: when you create, for example, a building layout in Visio, you also define the third dimension. For example, you set the height for walls, windows, doors, etc. Now, when I save the Visio drawing as a .dwg and open it in a CAD program, the drawing appears flat. Have been using ProgeCAD, if that makes any difference.

1. Is this how it's supposed to be? Or am I doing something wrong?
2. What's the easiest way to view Visio 2000 drawings in 3D?
3. What's the cheapest (free) way to view Visio 2000 drawings in 3D?

Many thanks in advance...

P.S. I have been mining the net for answers for a few days now, but haven't really found anything of use.

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