I think the FEM tab is for Pro/Mechanica in INDEPENDENT mode, which is NOT included in the SE bundle. (In the commercial package, this lets you manually build meshes, as well as various other advanced options not included in Integrated Mode, which is all you get in SE.)
To perform a stress analysis, the steps are:
a) Switch to Mechanica | Structural (or Thermal, or whatever type of analysis you want to perform).
b) Define material properties, loads, constraints, etc
c) Set up the analysis or Design Study that you want to run, then analyse, and go to Results.
All steps are undertaken inside the Pro/Engineer user interface.
I strongly suggest you go through the Pro/Mechanica Tutorial that you should have received on a separate CD-ROM with the SE bundle. This will take you through several good examples.