Depending on your OS, review the SAS functions such as FILEEXIST (as well as other like-purpose functions) and you can use %SYSFUNC with one of these functions in a macro. If you want to maintain your DATA step outside the macro, set a %GLOBAL statement at the start of your macro and test the "&MYGLOBAL" in a DATA step IF, placed "BEFORE" the SET statement, and issue a STOP when you have detected that the path does not exist.
Also, consider that the entire DATA step could be executed within your macro, using SAS macro language SAS data member read functions, FOPEN, FREAD, FCLOSE.
Suggest you scan the SAS.COM support site for examples and SUGI/SGF papers on these topic-areas; also there is a related link pasted below.
Scott Barry
SBBWorks, Inc.
http://support.sas.com/documentation/cdl/en/lrdict/59540/HTML/default/a000210912.htm