Without amy additional information, it would be hard to troubleshoot this problem - however...
1. ProE Student Edition usually requires the CD to be in the drive, but you would usually get an error message to this effect.
2. I have noticed that PTC sometimes cuts corners in the development of Student Edition versions. In the past, I have had to manually create working links to the correct batch files. Browse to the ProE directory (usually c:\program files\proeXXXXX) and open the BIN directory. Try double-clicking on the 'proe2000i2.bat' or 'proe2001.bat' file. If this works, create a SHORTCUT to the batch file on your desktop.
3. One last thing - it may be possible that your video card (on your home machine, I presume) may not support ProE. A workaround is usually to manually create a config.pro file and place it in the TEXT directory (within the ProE installation dir) that contains a single line: GRAPHICS WIN32_GDI (assuming the startup process is even getting to this point).
Good Luck,
Recneps