I downloaded DNG Converter but it still won't recognize my raw Nikon D3 NEF Files. This is the most frustrating system ever. I was so excited to get Lightroom, but I can't even get it to see my files. Aperture was SO EASY and USER FRIENDLY!! if anyone has a solution i'd be thrilled. I've spent 3 hours on this and haven't gotten anywhere.....
Note that the DNG converter is a stand alone application and has nothing to do with LR.
You can import D3 .nef files directly into Lightroom.
Make sure that you are not using Nikon transfer to move the images to the PC.
Note there is a maddening strangeness to DNG converter's interface that will make many people think it doesn't work. It will only convert FOLDERS of images, not actual images. So the images will stay greyed out in the interface but it will convert them if you select the folder itself. BKKDon is right though that Lightroom will read the nef files just fine, so there is not much to be gained from converting to dng. You can always have Lightroom do the conversion for you after import if you really want that.