To get started, you will need a few files for this tutorial. 
Download the ARX_ZIP file HERE and save it to your computer. 

Unzip the file, and you will see several folders.  For example, if you unzip to the folder D:\ARX_Tutorial\ARX_ZIP then you would see folders like this:

Also download the example Pro/E model HERE, and unzip it.  For example, if you unzip to the folder D:\ARX_Tutorial\ARX_PROENGINEER_Model then you would see files in that folder like this: