Check the Installation Guide, or possibly the Admin Guide, in Project
Server's document set. This is usually done in installation.
There is a function called "Manage Windows SharePoint Services" in PWA's
Admin section, and the default page that comes up is connection info to
SharePoint's server. If you are not a system Admin user, you may need
someone who is to ascertain the information.
FYI, even if SharePoint and Project co-reside on one server, this
information still must be filled out for thedata sharing to work.
Hope this helps ...
JTC