I met the same problem. But I found the file 'config.pro' both in ansys directory and pro/e directory. My problem is that the virsions. My ansys is ansys_workbench 8.1 and my Pro/E is wildfire for education.
And here is the code of the file'config.pro' --- PROTKDAT C:\Programme_Anwendungen\Ansys Inc\v81\AISOL\CAD Integration\ProE\text\Pro2001PlugIn.dat