Search the Census.gov website. Somewhere it will have the documentation, and possibly by different years. I can't point to a specific link because 1) the census reorganizes their website constantly and saved links often don't work and 2) the last time I looked at this was over 10 years ago so things would have moved.
I contacted SAS support and got this reply: MSAs were retired by Census Bureau in 2003. MSA data was from zipcodedownload.com. MSAs are replaced by Core Based Statistical Area (CBSA). There are no plans to add CBSA to SASHELP.ZIPCODE. Check with Census bureau to see if they have a table.
I did search the census site and no luck so sent them an email requesting assistance.
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