This is likely the wrong assignment for someone who is relatively new to SAS. DATA steps permit 2D arrays. Macros really don't support arrays at all. So check with a local SAS programmer to see that this is the right approach for the problem you are trying to solve. At any rate, you can simulate an array in macro language by using naming conventions for your macro variables. For example, you could add this statement:
%let val_&row._&col. = &value;
That might replace the %PUT statement (which would likely have to be changed anyway, since there is nothing in this code that creates &MYCOL).
At the end of this, at least for testing purposes, you might want to see what you have created, by adding:
%put _user_;