There is probably a setting to enable "Anti-aliasing" somewhere in Pro/Engineer. This simply 'checks' the edges of rendered geometry and attempts to smooth them out.
You can sometimes force this in your graphics hardware (which is the way I have done it) the method varies based on the graphics card vendor but its normally under "quality and performance" or something similar. Bear in mind that the more anti-aliasing you apply, the more performance is required, complex models may result in low frame rates when rotating the model.