Part location marks will only appear if you put them in place. That means opening each of your footprints in the footprint editor and adding an appropriate mark - cross, "X", small circle, etc - at the desired location. Then you export the layer containing these marks to your *.DXF drawing.
Kicad doesn't have any unnamed "technical layers" (or "mechanical layers", as they are called in some layout programs) several of the named layers can be pressed into service to carry your location markers. These include "Dwgs.User", "Cmts.User", "ECO1.User", "ECO2.User" and "Margin". In the official KiCAD footprints, "F.Fab" carries an image of the component's outline, but you may want to add a location mark to that layer.
For example, all of my Mounting Hole footprints have a small cross marking their center, drawn on the "Dwgs.User" layer because that's the layer I always use to create a dimensioned drawing of the board's outline - including locations of the mounting holes. (The general drawing notes also live on "Dwgs.User".) My "ECO1.User" is a crude assembly drawing, containing cartoon-like sketches of the installed components along with their values and reference designators. "Margin" may carry an imported *.DXF of the enclosure my board mounts into, or the mechanical interface to things like switches, connectors, pots, etc.
In the "File" > "Fabrication Outputs" drop-down you will find a tool to create a "Footprint Position (*.pos)" file. I have not yet used this feature but it creates a file showing locations of footprints, so that components can be put into position by pick-and-place manufacturing machinery. (This file has some subtle nuances that you'll appreciate after you understand how automated assembly machinery is used. Search this Forum for details.)
The values reported by the *.POS file are the locations of each footprint's reference location, or "anchor", as they fall on the board's co-ordinate system. The anchor, in turn, is specified by KLC:
Footprint anchor should be placed in the middle of the footprint (IPC-7351). Generally this is the centroid calculated with respect to the device lead ends. However, if the datasheet specifies an origin for Pick-and-Place, this should be used.
The problem is that the footprints' anchors have not followed uniform standards over the years. Many of them have their anchor on the part's centroid, but a significant number center the anchor over Pin 1, or at some other convenient location (such as a positioning peg for a connector).
Habit, fear, inertia, and prejudice are powerful forces. As somebody who stuck with Win2K until after the release of Win7, I'd advise you to upgrade to Win7 as soon as practical.