Thanks for the tips!
The idea was to use the prerelease 64-bit R Version 2.11.0 on our new 64-bit windows server to exploit the 64-bit architecture.
Now it works, and this is what I learned from SAS support:
(a) There is no true 64-bit version of SAS/IML Studio.
(b) The edition of SAS/IML Studio labeled for 64-bit Windows is really a 32-bit program that runs on 64-bit Windows.
(c) SAS/IML Studio 3.2 requires a 32-bit version of R.
(d) There is no official distribution of R for 64-bit Windows from the Comprehensive R Archive Network (CRAN). There is a version of R for 64-bit Windows available from REvolution Computing, but it will not work with IML Studio because IML Studio 3.2 requires a 32-bit version of R.
(e) We do have plans to produce a true 64-bit version of SAS/IML Studio in the future. However, there is no schedule yet for when that would be available. At least a couple of years.
(f) If SAS/IML Studio 3.2 is installed on a 64-bit Windows system and SAS 9.2 is also installed in 64-bit form, IML Studio can connect to the 64-bit SAS.
So we tried it with a 32-bit version after the confirmation:
"I can confirm that SAS/IML Studio work fine with R 2.10.1."
After setting R_HOME as proposed, we got it.
One last finfding: The error message mentioned above is the same, either using a 64-bit version of R, or having the environment variable not set.
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