It's hard to say if you're doing something wrong based on your description...
Are you simply drawing in 2D? (i.e. NOT making a drawing of a 3D model)? HOW are you trying to make the dimensions (are you using Insert-->Dimension or Show/Erase)?
P.S. If you're just making a 2D drawing, I don't think Pro/E is the right tool for the job, IMHO.