You downloaded an instruction/set up file when you got SAS UE.
Please read it and follow the steps.
You should have 1) Created a folder called myfolders under the SAS University Edition Folder
2) Created a shared drive between the VM that maps to the myfolders
3) When you start SAS UE it doesn't say that myfolders wasn't found
4) Move files you want to work with into the myfolders area and access them via:
libname mylib '/folders/myfolders/';
http://support.sas.com/software/products/university-edition/faq/main.htm
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