The Enhanced Editor would be installed on your PC hence you would have write access to the default path on your PC hard drive.
Typically code in EG runs on a remote SAS server where the default path is a SAS install directory where you are unlikely to be able to write to. The server would not be able to reference your PC hard drive either. Well not without a lot of special setup.
There are SAS data upload and download tasks in EG to deal with this type of problem.
Usually with EG server-based directories are setup for users to store their data in.