I always have problems importing IGES files. Ask your supplier to give you the same file in different formats - STEP, Parasolid and native Pro-E. SWorks can open each of these filetypes.
Also, if you can open and see the geometry in Rhinoceros, then save the file from Rhinoceros in IGES, STEP and Parasolid formats and try to open these with SWorks. You'll have to use your 'free saves' in Rhino if you only have an evaluation copy.
I've just asked for other versions, and I'll try with Rhinoceros way, but I'm very upset that I have to use a another software (that cost 10 time less!!) to solve a problem that my SW should have to do!!! ... or at least give me the options to do it a better way.
The iges translation is only as good as how it was exported. I would first ask for the native ProE file and open then natively in SW (using Brep option.) Second, ask if they are using the default tolerance setting in ProE. If they are not, this is often the root of the problem. Also, just because it comes into SW with import errors, does not mean that it can not be fixed using import diagnostics. For companies that do translation between ProE and SW, they don't seem to have much trouble, so I'm interested in what your particular problem/s is? If you can post an example file, I'd be curious what we can see. If it is an NDA issue, please submit to your VAR and get it into development to understand and possibly fix.