A simple solution might look like this
data scores;
set scores;
retain maxscore00 maxscore02 maxscore04;
maxscore00 = max(score00, maxscore00);
maxscore02 = max(score02, maxscore02);
maxscore04 = max(score04, maxscore04);
run;
But if you have a lot more variables, you might be better off with this version. You would have to expand the retain and array lines with your additional variables, but you wouldn't have to write max functions over and over.
data scores;
set scores;
retain maxscore00 maxscore02 maxscore04;
array scorein (3) score00 score02 score04;
array scoremx (3) maxscore00 maxscore02 maxscore04;
do i = 1 to 3;
scoremx = max(scorein, scoremx);
end;
drop i;
run;