How to import 3d model created by pro engineering?

I have some 3D model, and I want to import it into Unity 3D, How can I do it?

Drag it into the Unity window.

If you mean Pro/Engineer I think you have to export your geometry as Wavefront .obj and then copy it into the asset folder (or look at Eric5H5's answer) and create and assign new materials inside Unity.

Take a look at the manual about the import options for meshes.