The SAS support
http://support.sas.com/ website has this usage note on the topic - at the bottom is where Windows 7 is discussed, however it still involves using a SAS-supplied utility to deal with file-types and their default launch associations.
Scott Barry
SBBWorks, Inc.
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sas file extension windows 7 site:sas.com
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Usage Note 32464: Registering file types via the SAS Filetype Registration Utility for SAS® 9.2 Phase 1 and SAS® Enterprise Guide®
http://support.sas.com/kb/32/464.html