Check with your PRO-E vendor. Here are some suggestions-
1- open each part individually, unless you really need to convert an entire assembly.
2- Write each (save-as) to ACIS "SAT" files. PRO-E W/F-2 does just fine with this. SET YOUR OPTIONS TO WRITE TO SAT VERSION 3 OR EARLIER (3 is the first available on the list I think).
3- Set your PRO-E to save individual components. The default setting is to write one large solid. That'll prob'ly be unusable.
TRY TO AVOID IGES, as you'll have to pay for an IGES translator. DON'T pirate a copy. You're asking for trouble.
If you have an IGES translator, try it you might like the results.
Again- check with your PRO-E vendor for details.
Good Luck!
C. Fee