I see... You're not going to get anything like that directly out of proc corr. sgscatter gets you close in terms of the lattice layout with the histograms on the diagonal (see http://support.sas.com/documentation/cdl/en/statug/67523/HTML/default/viewer.htm#statug_odsgraph_sec...). The graph you want is doable, but I imagine you're going to have to create a custom template and use proc sgrender to create the graph. If you had an example with code for a similar graph, you could probably use that to get you started. I don't have such an example and I didn't find anything easily (looking here, http://support.sas.com/sassamples/graphgallery/PROC_SGRENDER.html, for example). Another option that might get you started is to use sgscatter to get close to what you want and then use the "TMPLOUT="filename" to output the template code and then use that as your base. This depends on your level of comfort with SAS in general and the SG procs in particular though.
Alternately, you can just wait and see if someone else here has something like this cooked up already. And if you come from the open source world, you might find examples using ggplot or something. And if it is all too overwhelming, you can go with the out of the can results and modify it to show the correlation coefficient in each cell.
