If you have SAS 9.2, then you can get this with some code and the new ODS graphics cababilities.
[pre]
ods graphics on;
proc corr data=sashelp.cars;
var enginesize weight;
with mpg_city mpg_highway;
run;
ods graphics off;
[/pre]
If you have EG 4.1 and SAS 9.2 on the same Windows machine, this code will work. EG 4.2 will use the ODS graphics automatically within the Correlations task. I've attached a sample of the output plot (if the forum software will allow you to view it...)
Chris