Here's one way to do it...
data foo;
input x y;
datalines;
1 1
4 4
4 4
4 1
run;
data anno_arrows; set foo;
length function $8;
xsys='2'; ysys='2'; when='a';
if _n_=1 then function='move';
else function='arrow'; style='filled'; angle=30; line=1.8; color='red';
run;
symbol1 value=circle color=blue height=2.0 interpol=none;
proc gplot data=foo anno=anno_arrows;
plot y*x / noframe;
run;