1. Check to see that gpsutility does not have an option to create the .prj file when it creates the other three.
2. What is the projection? And if appropriate for that projection, what is/are the standard parallels (latitudes), the central meridian (longitude), and scale factor and any other parameters that specific projection may use.
3. Your local government GIS person(s) would like the .prj file included; however, with the info in #2 they should be able to easily open the mapset in most GIS or map viewing programs if the program supports that projection.