If all you get are lines, then you need to use those lines to make surfaces, then you can make a volume(s) from the surfaces. Used to have to do this all the time in the bad old days - you youngsters have it way too easy most of the time. If Pro/E won't import it, then try Independent Mechanica. It has its own geometry engine, and this is what I used to use all the time - Hours (or days or weeks!) of 'fun'. However I imagine you can do the same kind of thing in SW. On the other hand go to the source of the file and try to get a better one - native CAD whatever it was, or STEP