The index function may be the easiest for single letters:
proc freq data=yourdata;
table var;
where index(var,'A') > 0;
run;
The Index function returns the position, number of character in the string, as an integer if found or zero if not found. The first parameter is what to search and the second parameter is what you search for. This is case sensitive and would not find 'a' when searching for 'A'.