The following will give you the location of the dataset CLASS in any library that has been established in your current SAS session, be it as part of the log on process or one you have set up yourself, and is still in effect.
PROC SQL;
CREATE TABLE WANT AS
SELECT LIBNAME
FROM DICTIONARY.TABLES
WHERE UPCASE(MEMNAME) = 'CLASS';
QUIT;
If you wish to know if the dataset appears in any location accessible by SAS, e.g. any subdirectory on a network, then this is a completely different animal and will require something more sophisticated.
Regards,
Scott