Hi,
You need to set up the connection to Pro/Engineer using the Ansys CAD configuration manager, which is in the Utilities folder in the Start Menu under Ansys. Select Pro/Engineer Workbench Associative Interface, then select where your Pro/Engineer is installed, and the launch command. Note this is a bat file, do not select the proe.exe otherwise it won't work. Select the 'Configure CAD Interfaces' and wait for the message 'PE Workbench PlugIn ..... Configure Success' message. When you start Pro/E you should get the Ansys Menu as shown in the video.
Hope this helps,
Rod Giles