I am using SAS Studio via my WRDS account, but because it is not through VirtualBox but directly through my browser, I don't know how to create the shared file and save my datasets in a permanent place. The dataset is really big and it always takes a long time to run the code and because I cannot create my library to store it, I have to repeat to create them every time.
Hi: You would not be able to use SAS/Connect with the SAS University Edition. So you must be using SAS Studio with WRDS in a different way.
You might want to read the WRDS FAQ page : http://www.whartonwrds.com/wrds-advantages/faqs/ and contact their Help Desk. If they were the ones that wrote the signon script and provided the signon instructions, it might be better for you to work with them. Their email is listed as: firstname.lastname@example.org