If the SAS SERVER component where your script executes isn't installed on your computer then it has most likely no access to a file on your desktop.
If above is the case then you need either to upload the file onto the server where SAS executes and then use the server path in your proc import script.
If you're using the SAS EG or Studio CLIENT then you can also use the client's import wizard. In EG that would be under menu File/Import Data.
Because that's using the client installed on your computer you will have access to a file on your desktop. The client does then the conversion and upload to SAS for you.
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