In Playback mode, select Capture, and check the option to Photorender frames.
Before you do this, adjust the rendering settings so that the captured frames are of high enough quality.
My advice is to find a render quality which is good enough for your application, but not so high that your animation will take days to render.
Pro/E's base rendering is *okay*, but not as good as some other rendering packages out there. If you are running Wildfire 1 or 2 (not the student edition), you have the option to use the Photolux raytracer instead of the base renderer. It yields higher quality images than normal, but still not as good as some other raytracers out there.
I'm still waiting for the day when PTC (or someone else) finds a way to easily export animation information to POVRay. I have something on the go for this, but it has been backburnered for the time being.