Hi:
Are you on step A or step B? The window says "Open" and the message is not in the SAS log, so it looks like you have not submitted any code yet.
Step A tells you to open the file in a simple editor. If you want to use SAS Studio to read a .dat file, then you need to right click on the file and choose View as Text File.
Step B tells you to use the Import Procedure -- please note that under the Tasks and Utilities panel, there IS a utility called Import Data, but if you read the documentation here https://go.documentation.sas.com/api/docsets/webeditorug/3.8/content/webeditorug.pdf you'll see that it says you may have issues with .DAT files, as shown below:
However, you can always code the IMPORT Procedure or you can do what the documentation suggests and rename the file as .TXT instead of .DAT In my screen shot below, I show the PROC IMPORT code needed for my file:
Hope this helps.
Cynthia