Have you looked at the documentation for Proc Geocode? There a number of look up data sets needed, each of which needs to have specific variables and content for the Proc to work. When you say "Madrid" I am assuming that you want to code for Spain and possible surrounding areas to some extent. The online documentation for the procedure shows how to create a postal code look up data set and use that. The idea would be similar for street level (since you say "intersection") but the reference data sets for addresses are more complex.
I do not know if SAS has provided any of the data sets needed for Spain. You may have to contact the SAS technical support to see such exists of if they know of a source of data that is suitable for conversion into the needed look up sets. Even with that I am not sure whether "intersection" per se is a valid option in Proc Geocode.
