If you draw your geometry in PRO-E you need to import it into GAMBIT great your mesh and then you can use it in PRO-E.
In order to do that you need to:
1. Draw your geometry
2. Save it in your working directory
3. Then File -> Save a copy -> select the drop down menu and select .igs extension and save it.
4. Open GAMBIT then File -> Import -> select the required document.