Depending on the size of the file you are exporting, it may take some time to export the file; you may be looking for the file before it has been fully created. Pro/E will tell you when the file has been created and the .dwg file should be in the same location as the log out file. I just created a .dwg file in 2001 and had no problem. I am currently running Pro/E 2001 build 2001200.
I took a little more time with the export, but I'm getting the same result. The dialog box says dwg file being created, then dwg file has been created, but the file is nowhere to be seen in my directory.
I assume I'm doing the right thing by saving a copy of the ProE drawing, then assigning the (.dwg) extension to it.
You are using the right command so that is not the problem. Do you get the same results when you save the file as a .dxf format? You may also want to verify the location where the file is being stored and check to see if all files are showing for that location or if you have permission to write to that location if it is on a network drive.
I had the same problem for a while with Pro E saying that a DWG has been created, but you look to where you saved it and only a log file appears. I just tried doing it right now in 2001 build 2002310 and had no problems, but I just installed that new build last week, so that probably has something to do with it.