Leo's videos are definitely a great place to start.
Here's an older PDF that I used a few years back -
A Surface is a Quilt. A Solid is an enclosed volume of 2 or more Surfaces.
To build a Surface, normally you need 4 boundary curves, they determine the shape of the surface and its position. Controlling the curves gives you control of the Surface. To created a Solid you have to:
1) Create Surfaces
2) Merge Surfaces-so you can create a Closed Volume
3) Solidify the Closed Volume-Creates a SOLID
Don't forget the "Help Center" in Pro/e found in the Help menu. It doesn't go into depth but it does try to explain what each command/tool does. My favortie thing to do is click the question mark icon (I can't remember if this is on the toolbar by default) and click the command that you need explained.