I'm trying to import a dataset with the extension sas7bdat that a colleague has exported previously. He is able to import it fine, however when I try to import it, it will not let me use the first row of data as the column headings and reads the file in with the headings column1, column2, column3, etc.
The file extension you listed is alread a SAS file, so you reference to "importing" is misleading. Also, it's unclear about how your file was "exported".
You will want to share the SAS-generated code and log information, while adding something like:
PUTLOG _ALL_;
in order to diagnose the problem.
Here is a link to some useful reading on the SAS support http://support.sas.com/ website, as well: