In which version of Pro/E was the file created?
You can import from Pro/ENGINEER parts or assemblies files up to Creo Elements/Pro 5.0 (formerly Pro/ENGINEER Wildfire 5.0.
You can import from Pro/ENGINEER (Creo) parts or assemblies files up to Creo 1.0.
EDIT: From the header of the part you posted, it looks like version 2 was used. In which case SW will not be able to open the file ... but an error or "future version" message should have been shown.
Can you ask the guy who had sent you this file to send you a IGES or Parasolid file (save as from ProE)
Thanks for all your reply, unfortunately the person who sent me this file doesn't know also which version of proe the file was created, and no other information he can give to me. Thank you Francis, Kelvin and Deepak.