I think templates in Pro/E are not what you want. Pro/E templates are parts/assembly/drawings that have only a couple of default features/parameters/relations/views etc. defined which are used to create new parts/assemblies/drawings that conform to your corporate standards.
I think you may be referring to drawing formats. In Pro/E you can have several different drawing formats that vary in sheet size. They typically have the drawing border, company logo and tables with parameters that auto populate with model parameters like material specs, etc. These can be either single sheet or have 2 sheets. A single sheet format will use the same format for every sheet of a multi sheet drawing. A 2 sheet format will have one for the first drawing sheet and a second for all other drawing sheets.
I think you can just open the AutoCAD drawing in Pro/E, create a new blank drawing format then copy and paste what you need from one to the other. Repeat for as many Pro/E formats as you need. If that doesn't work (I don't have a multisheet AutoCAD drawing to test it on) than you should be able so save each AutoCAD sheet as a separate DXF file and imoprt them one at a time into Pro/E formats.
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The Help for this program was created in Windows Help format, which depends on a feature that isn't included in this version of Windows.