If you're using SAS University Edition, it's unlikely that e:\SASUniversityEdition\Myfolder is a valid path within the virtual machine.
Right-click on My Folders under "Server Files and Folders" and choose "Properties". You will see a path next to "Location:" in the pop-up window like ,my screenshot below. My guess is that it is going to say "/folders/Myfolder". You need to use that path to specify your output. It will be case-sensitive. Then, to look at your output files outside of the virtual machine, navigate to "e:\SASUniversityEdition\Myfolder."
Edit: Here's a video from SAS showing how to work with your folders inside and outside of the virtual machine: Accessing Your Existing Data for SAS University Edition. At the 1:30 mark, it shows how to get the path from "My Folders".