You might not be able to get the "local" file dialog for that file browser. You might need to settle for a simple text prompt (type in the value). You can seed the value with a default that might work much of the time, depending how consistent the file locations are.
In order for the code that follows to be able to run, the file you select must be available to the SAS server. So, selecting a local CSV file and then expecting a remote DATA step to process it -- that won't work.
If that's your situation, you can use the Data->Copy Files task (EG 7.13 and later) to copy a local file to a remote SAS and then import it. The Copy Files task accepts wildcards and macro variables, so you really can generalize it for different scenarios. You would be doing the opposite of this: Export and download any file.
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