Do you have the STARs option selected on the SIDs/STARs page? That's how you tell PFE you want to conduct an approach on your own rather than have PFE vector you.
A clarification for this, quoted from
viewtopic.php?p=7718#p7718
There are two ways to use a STAR in PFE.
1. is to tick the box on the SIDS/STARS page. Using this method, atc will simply tell you that you are cleared to final at your discretion , from the LAST waypoint in your flightplan. You will not get vectors to final. You will be told to contact tower when you are on finals.
2. Do NOT tick the box in the SIDS/STARS page, but select a start of STAR in the waypoints page. You will probably be using a waypoint that is 2;3;or 4 from last. This method will have atc tell you at that point to fly your STAR. You should follow the descent instructions on the STAR you are flying, not expect atc to descend you. Your waypoint altitudes in the PFE flightplan should correspond to the STAR altitudes. When you reach the final waypoint at the correct altitude you should hear atc contact you to vector you to final.
Make sure your final waypoint has the correct altitude in the PFE plan, and that if you have set a minimum FAF for the airport in the SIDS/STARS page, it is best if this is the same.
When you create a flightplan you can add some or all of the STAR waypoints if you wish. The only thing that is needed is that the last waypoint in the plan corresponds to the end of the STAR. Also remember, that the last waypoint should be about 30 nm from the airport