When you try to attach it, what does it say at the command line? It could be that there is a possible circular reference happening which Autocad won't allow. The command line should tell you what the problem is.
Or, if the xref loads but you just can't see it on screen, then maybe it is off in space somewhere. Try doing a Zoom Extents and then hit Ctrl+A to select all. Then look for the blue grips.