This sounds like an installation issue.
If you have SAS on the same machine as EG, then EG should have launched a SAS workspace session to open the data. If you don't have SAS on your local machine, then EG should use the SAS local data provider to open/read the SD2 file.
Either way, this error indicates that something is not installed quite right. You should probably work with tech support to resolve the issue.
Chris