There are a few options, the first is that 2017 which is now available is "supposed to" have the ability built in to readily open other files. If you don't have the ability to have the files sent to you in a different format you could install 2017 on a machine to open and save the files in a format that works. I am not running 2017 yet so I can't verify that for you.
I have often brought in files in STP or IGES formats however the more knowledgeable of posters here will tell you that parasolids is the native format of SWx and you should use that format. Pro-E can save the files to any of these formats if you have access to the originators of the files.