Having spent several hours finding a way to do this, I hope this saves others some trouble....
1) used 3D Slicer www.slicer.org to segment the MRI volumes. (There are tutorials for this. You need to make a label volume then convert it into a model.)
2) saved the models as .stl files.
For reasons unknown Pro/E student edition would not recognize the .stl files that originated from 3D Slicer.
3) Load the .stl files in MeshLab http://sourceforge.net/projects/meshlab/
4) Save the model as a .dxf file
5) In Pro/E use Insert>Shared Data>From File to import the mesh as a facet feature.
Elsewhere I have seen people talking about shrinkwrapping the 'facet feature' to create a solid in Pro/E.
I hope this helps,
Re .stl compatibility
It appears that 3D slicer and Meshlab tend to save .stl files in human readable ascii, whereas Pro/E seems to only recognise .stl binary files.