Hi:
There's a paper referenced at the end of this thread that is very useful:
http://support.sas.com/forums/thread.jspa?threadID=11068&tstart=0
It should serve to get you started. Although, I'm confused by what you mean when you say "at the DATA STEP or the PROC STEP" -- because while a DATA step can either read or write an "external file" (non-SAS file), the only PROC STEP that can read or write an external file is PROC IMPORT or PROC EXPORT (well, PROC FSLIST -- but hardly anyone uses that anymore).
cynthia