As silly as this may sound, I would check that you have properly installed this SAS/Warehouse feature, and have it properly configured. If you have the administrative perspective, check out the following link:
http://support.sas.com/documentation/cdl/en/waug/59817/PDF/default/waug.pdf
(Page 72 mentions some settings)
Either it's not installed, or not setup correctly, and therfore it cannot find the catalog SASHELP.DW
This is my guess so far ^ 🙂