If you have ever tried to build an assembly that uses parts from multiple directories you will have found that Pro/E does not seem to support this. The solution is to create a custom part library.
Custom part libraries can be implemented in Pro/E without using intralink by setting the search_path or search_path_file in your config.pro file. If you set the search_path_file you can set it to something like C:\Documents and Settings\username\My Documents\search.pro and include all of the search directories in it.
To create the config.pro select tools > options from the main menu, then press the save button on the window that pops up and save it as C:\Documents and Settings\username\My Documents\config.pro
If you want to get complicated you can make your own custom part libraries using the Pro/Library features by setting pro_library_dir to something like C:\cad\lib
You can then create menu files which allow you to add a textual description to each part. This also prevent extraneous documentation directories from showing up.
Example servos.mnu file placed in the servos directory
HiTEC HS-65MG Mighty Feather
HiTEC HS-325HB Standard