If you use Windows explorer to go to C:\Users\zjt75778\Desktop\SAS Course 1, do you see a file named pg1v2.sas there?
How are you running this code? If you are using SAS Studio or EG connected to a linux server or some other server, it could be a common problem where the SAS session running on a remote server cannot see code sitting on your local PC. If that's the case, your .sas files would need to be transferred to the server in order to %include them.