I have reviewed the instructions for setting up the Virtual Lab, SAS On Demand for Academics, and for using your own local SAS for exercises in the ECRBM6 (SAS Certification Review: SAS 9.4 Base Programming Performance-Based Exam) course. I didn't find any references to a "Database" sub-folder. Can you please specify where in the course materials you found the reference to the "Database" folder?
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