Your INFILE statement specifies only a relative filename, so the SAS process automatically looks for the file in its working directory, which is the location where the SAS process was started.
In a BI server environment, this is a place in the "configuration tree".
To avoid this, you need to specify an absolute pathname, starting with a / (meaning that the path starts in the root directory and includes all subdirectory names up to where the file resides).
Now, if you work with Enterprise Guide and the file resides locally on your PC, you either need to use the import wizard of EG (which automatically transfers the file to the server before running the import data step), or you need to transfer the file yourself to a suitable location on the server (most often your home directory).
To be more specific in helping you, we need further information about your SAS setup.
If you set up the myfolders properly, you would not see a warning on the SAS Studio start up page, otherwise you see a warning. You should also be able to navigate to it on the left hand Folders menu.
Assuming the above is true, you can change your infile statement as follows:
infile '/folders/myfolders/car.dat';
PS. It has to be myfolders, with the s, and I believe its also case sensitive.
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