If it's a SAS OLAP cube, the simple method would be to select File / Open / OLAP cube and navigate to the SAS Folder in which the cube is stored. Where along that route do things fail?
FYI, instructions above are for EG 4.2 -- are you running version 4.2 or version 4.1? You're welcome to get in touch with Tech Support if you want more immeadiate assistance as well: http://support.sas.com/techsup/contact/. Unlimited, free tech support is provided with every SAS license.