When you access data from EG via the File->Open->ODBC menu, you're pulling data to SAS via your desktop client. For small tables that can work okay, but for large tables it's slow (and in some cases, not possible because of the size). The more efficient method is to access your data source in terms of the SAS server: using a SAS library that accesses the ODBC data source.
I understand you're not familiar with all of these terms/mechanisms. You might need to work with a colleague that has a little more experience with "SAS plumbing" to get this working properly. Here's a SAS note that provides a basic explanation of what's going on.
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