These files must have an extension of *.prt, *.prt.<number> (for example foo.prt.8), *.asm, or *.asm.<number> (for example bar.asm.23). Only solid models are imported from Pro/E. The solid models are imported as surfaces or solids depending on the options you set in the Import/Export Options dialog. Only solids are read from a Pro/E file. Any curves or surfaces read must be part of a solid.
FeatureCAM can read Pro/E Family Tables, which are multiple configurations of a given part.