You can't call out to SAS code from inside a PROC IML session, but you can do so from IML Workshop or Stat Studio (which is being reanmed to IML Studio). What version of SAS do you have now?
I am using V9.1. I think I do not have IML Studio.
It seems that I cannot perform MDS inside PROC IML. I need to output the matrix to SAS base and use the MDS procedure then.