I'm new to SAS but have many manuals and books to read through, but can anyone tell me if SAS can connect to external web sites to pull data? If so, what keywords should I research to start building scripts?
You will need to clarify what is meant by "connect to external web sites"? It is possible to scrape and parse HTML, also SAS 9.2 provides a documented PROC SOAP interface (using XML) for web service data-retrieval requests. There is a FILENAME statement which has several "access method" types for various remote system/server processing, such as FTP and others.
Suggest you start with the SAS Language Reference and then FILENAME statement, then explore one or more of the SAS Companion guides for your favorite OS, and make use of the SAS support http://support.sas.com/ website and its vast resources for this type of request.
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