The answer below assumes you're using SAS University Edition.
How are you saving your dataset? Using the point and click tool?
The easiest way would be to create a library and copy the file to the location.
Instructions on how to set up shared drive to save your dataset can be found here:
http://support.sas.com/software/products/university-edition/faq/shared_folder_access_existing.htm
libname myloc '/folders/myshortcuts/my_data';
proc datasets library=work nodetails nolist;
copy in=work out=myloc;
select data_save;
run;quit;
libname myloc;