This sort of message is because you did not specify a path where the file should be created. So the behavior of SAS without that information to use where the program is executing as the "path" and try to use that.
On a system you or your organization controls you should start file names with a path beginning at a drive (Windows), disc mount point, or server url name and path where you have permissions to write files. With a training environment like the practice sessions that path starts at the resource your class is using.
You may also want to consider providing an extension of your file such as .PDF to match the expected file type.