You're right: from EG 4.1 (build into Learning Edition), you won't be able to import .xlsx files. You'd have to do a Save As from Excel to create a .xls file, then import the .xls file.
When I was testing some column headers in EG 4.1, values that were pure numbers (like 25, $70.07, and dates) were brought in as F1, F2, etc. So, check your column headers in Excel to make sure they are text and not numbers. Other column names (5 Test, Test/4) seem to work just fine. It was really the pure numbers that resulted in columns named things like F1.
I walked through a sample import and this is what I saw:
1. File / Open / Data and navigate to the .xls file
2. See worksheets, click the checkbox for one of them
3. Click the second option to open the file as a SAS data set (FYI, you might try the "open the file as is" button too to see if that meets your needs)
4. In Region to import, make sure specify line for column headings is checked and set to the correct line.
5. In Column Options, names should show up as they appear in the Excel file.
6. Import works fine, and I get the appropriate column names.
The only problem notes I saw related to F1, F2 were the following, which don't sound like what you're describing:
http://support.sas.com/kb/16/937.html
http://support.sas.com/kb/36/530.html