See if this helps:
Data Ex_3;
infile 'D:\example_3.txt' encoding='utf-16le';
Input Name$ 1-7 height 9-10 weight 12-14;
BMI=700*weight/(height*height);
output;
run;
This should tell SAS that the external file is that encoding and set up how to read it.
You may need to increase the number of "columns" read as some of the UTF-16 characters may take up more space when converted. You may also get some very interesting results depending on the actual source.
For what it is worth one of the first UTF-16 files I encountered had every character when read preceded by a space. What looked like "Fred" in the file was read as " F r e d".