I've found the method of playing the trail file to be far less robust in Wildfire than 2001. In other words, the re-play usually crashes before completing the entire trail file. I seem to recall this working far better in 2001.
The trail file is simply a log of all the actions you perform in a Pro/E session.
You can use them to recover lost work. However, they work best if the object was not saved, as saving obviously affects the file version on disk. I've had some success recovering parts by editing trail files & working through them step by step.