You need to SFTP instead of FTP if you are accessing an SFTP server.
http://documentation.sas.com/?docsetId=lestmtsref&docsetTarget=p0xln1fiwsr340n1xxf4mkmfxp6f.htm&docsetVersion=9.4&locale=en
Even then you might need to do something to allow you to connect. Sign on to the host where SAS is running and see if you can connect to the SFTP host using the sftp command line program.
You might need to automate the download parts by calling the sftp commands via the SYSEXEC or X commands or by using PIPE engine on a filename.
You also might want to look into using curl to retrieve the files instead of native sftp commands. That should give you a lot more flexibility in automating the login process.
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