The SAS GUI has a file browser. This browser can be used to explore the data sets on your file system, or to select
a parameter.
Typically your explorer will look like:
The browser not only shows your system directories and files, but also allows
you to browse into data sets.
Additionally, a Cancel and an Ok button may appear at the
bottom of this window, if the browser is used in to select a parameter in the
dialog of a task.