Siemens provides you with CAD Translators that do this, but the result will be a CGR, this requires a CATV5IN increment on your Robcad License, and also a CATIA or DELMIA license
There are also JT Bi Directional translators that come with Tecnomatix PS/PD, this converts a JT to a CATPart, you will have to convert the .co to JT using the "Upgrade CO to Version" tool that installs with Tecnomatix.
With a Standard Robcad license and no additional translator Licenses you can convert the .co to an iges file and with CATIA convert it to CGR or CATPart, but depending on the size of your .co component this could take very long, and in some cases even fail.
If you have any of the licenses mentioned above, I am happy to explain further how to use the mentioned tools.