Do you have SAS 9.2 and SAS/GRAPH???? If you are only running SAS 9.1.3, ODS GRAPHICS capability was still experimental in SAS 9.1.3 and SGSCATTER was not available. In SAS 9.2 the SG procedures and ODS GRAPHICS became production.
You say that you tried, but the code does not work. Can you share your program and the error message in the SAS log??? Also, for more help from graphics folks, you might consider posting this question (with code examples) in the SAS/GRAPH and ODS GRAPHICS forum.