I found the wonderful example from the SAS support site demonstrating how to generate multiple worksheets per Excel workbook without any file location warnings--this one, to be exact:
http://support.sas.com/rnd/base/topics/templateFAQ/excelexamples.html#nowarn
I've modified it to fit with my dataset, locations, output, etc., and it still gives me the "Some of the files in this Web page are not in the expected location" warning.
One interesting point: when I modified my filepaths to make the Excel file (allstudents.xls) generate in the root C:\ directory and the xml/html files to generate in the C:\allstudents_files directory, I had no problems and the program ran as intended. My issues started when I used an extended filepath to where I normally store my SAS programs and such, in a subdirectory on C.
Why would a subdirectory cause problems, if I still have the _files subdirectory within the subdirectory?