Please go to options > References Tab > Set Retain and Merge as shown in the below snapshot, Also go to MX Menu > View> Configuration > Set as separate Drawings options as shown in the below snapshot. I presumed you are using AutoCAD 2011 or older than this version as only up to AutoCAD 2011 are supported version on MXRoad SS2. Please cross check with Operating system on which both MXRoad and AutoCAD supported versions or not.
Regards,
Purva Lakde