When you "only" have EG on your desktop, you need to have .egp files, as a .sas does not have the necessary connection informations that tell EG where/how to run the SAS program.
If you want to run a .sas file (which is a simple text file containing SAS code), you have to store it where the sas executable on the SAS server can see it (network share, or copy it to the server with SFTP), and then start sas remotely (eg via SSH). But in this case you also have to worry about what to do with the results.
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