Shankar,
I agree that those more familiar with EG might have a better response.
One brute force method would be to use a unnamed pipe.  The following article mentions what you would have to do to use a pipe in EG:
http://www.hollandnumerics.co.uk/pdf/Using_EG_4.1(paper).pdf
And, with a pipe you can run a dos dir command and simply parse out what you need.  E.g.,
[pre]
filename fnames pipe "dir c:\art\*.txt";
data have;
  infile fnames;
  informat date mmddyy10.;
  informat time time8.;
  informat fsize comma12.;
  informat fname $32.;
  input;
  date = input(scan(_infile_,1," "), ?? mmddyy10.);
  if not missing(date) then do;
    time=input(scan(substr(_infile_,13),1," "), time8.);
    fsize=input(scan(substr(_infile_,25),1," "), comma12.);
    fname=input(scan(substr(_infile_,40),1," "), $32.);
	output;
  end;
run;
proc sort data=have;
  by descending date descending time;
run;
data want;
  set have (obs=1);
run;
[/pre]
HTH,
Art
---------
> Hi Everyone
> 
> I am using SAS Enterprise Guide in windows XP
> environment.
> 
> As part of my automation work, I need to pick the
> latest .txt file from a list of different files in a
> folder and then do some operations on that.
> 
> Is there any way in SAS which I can use to do this?
> 
> Request your help.
> 
> Thanks
> Shankar