SAS Studio in the video is accessing C:\, but it is C:\ on the server machine, not the local machine. One can deduce that the server is running on the Windows operating system. The code would fail if the server were running on a UNIX operating system.
You can use the visual interface to load data from your local machine. If you want to use code to load the data, then you need to move the data to the server machine, or contact your IT department to see what options they can provide to map a network drive that is accessible to the server machine.
Vince DelGobbo
SAS R&D
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