First make sure your part & net name conventions meet requirements of Capture (spaces...)
For each SCH sheet
Open SCH->File->save as->Format->Orcad SCH
and then save as Orcad SDT SCH (then export from DDB to directory of your choice).
For PCB you must save as 2.8 ASCII format then import into Layout.
It can be a messy process or an easy one, depends on how the SCH structure works (Hiarc, flat,...) and especially how module ports & part, net names have been used.
There are som knowledge base articles available as well as a good user group (h##p://w#w.techservinc.com/protelusers/join.html) in which you can look up the archives for many detailed articles.
R