I have a DTSX file in a project I\'m taking over. I have Visual Studio 2005 Pro, but it just opens it as an XML file. SQL Server Management Studio 2005 does the same.
From Business Intelligence Studio:
File->New Project->Integration Services Project
Now in solution explorer there is a SSIS Packages folder, right click it and select "Add Existing Package", and there will be a drop down that can be changed to File System, and the very bottom box allows you to browse to the file. Note that this will copy the file from where ever it is into the project's directory structure.