Another possible cause is that you have SAS installed locally, but the setinit is expired. EG uses your local SAS to open local data if it's installed, but an expired setinit can cause it to fail.
If you don't have local SAS, then EG uses the SAS Local Data Provider, a component that reads local data sets via OLE DB. The SAS note that Scott cites is referring to some limitations for that scenario.
Chris