The native file format in QCAD is DXF however many online resources provide downloads in DWG file format.

For example I was looking for roofing iron profiles and found some in DWG format

So how do you convert from DWG to DXF. I tried to download lx-viewer but it has dependencies on the opendwg.org's files and then you need to compile and well who has the time.

However on going over to the Open Design Alliance site I found they actually have an area where there is a utility to do the job. It's a windows utility but it seems to run on wine very well.

It's called the "ODA Teigha File Converter" download it here

Update: The Teigha File Convertor has been repackaged into an msi (Microsoft Installer) package. You need to run winetricks and install vcrun2005 and vcrun2010 to get it to run.

I chose to output in 2007 DWG ASCII format and QCAD opened the resulting file fine.