As you might have figured out, Pro/e does not have 3d sketching capabilities. There are, however, a lot of ways to make 3d trajectories and two, in particular, that sweeps will follow. The first kind of trajectory is created at the intersection of two sketched curves (or surfaces). The two base curves are drawn on adjacent planes, each is projected normal to the sketch plane and a third curve is created at the intersection. When you have the two base curves sketched, you can create the interesecting curve with 'Edit>Intersect' in Wildfire.
Another way to create a 3d curve that a sweep will follow is as a 'Thru points' curve. The type of curve is not a spline but single (or multiple) radius with straight sections that make a bend at each point. This is selected in the 'Curve points' definition, along with the radius size which determines the radius at the bend. If I'm not mistaken, the Sweep feature really needs the radiuses and ones that will prevent it from collapsing in on itself. It doesn't take sharp turns gracefully.
There are several other features that will let you sweep or blend from one set of geometry to another. Some use trajectories, some, like the blend between sections, do not. This latter is often called 'lofting' in other software. One of the better ones that can use just about any type of trajectory is the swept blend. It's only restricition is that blending geometry at each section entity must have the same number of vertices. Another, the variable section sweep, can follow and vary the section along several trajectories.