Pro/ENGINEER is a feature based modeling system. Peo/E does not have any primitives built in. Each feature is unique and the user must create it. To create the bolt head try this.
Insert>Protrusion>extrude. Pick a datum plane. This will place you in sketcher mode. Use the tool icons on the right to sketch the cross section i.e. HEX or circle. Click the check mark. Enter the thickness of the head. Click OK in the dialog box.