Two things to try:
1. Open your data set (from the server library) first, and then try to run the task.
2. View your connection profile (double-click on the profile link in the status bar on the bottom right corner in EG). Look at the Servers tab in the Connections window. Make sure that "Automatically add Local SAS server to the list..." is NOT checked.
Are you trying this with a local SAS data set file? If so, copy the data to the server first by using Tasks->Data->Upload SAS Data Sets.
Chris