Yes you can do this on DWG and DXF files. It is an operating system function, not Solid Edge directly.
I assume you do not have AutoCAD on your system because once you do this, you cannot double click to open in AutoCAD.
First you need to find SolidEdge.exe in the 'Solid Edge 2D Drafting\Program' folder.
Right mouse click on one of the files in your folder. Click on 'Open' or 'Open with' depending on your operating system. Click on 'Select a program from a list of installed programs'. Click on OK. In the 'Open with' dialog, make sure that 'Always use the selected program...' is checked. Navagate to where you found SolidEdge.exe and click on the executable. Click on OK.
You should be able to double click on the DWG or DXF file to open it.