For SAS 9.3
Select Start ► Programs ► SAS ► Utilities ► Manage SAS File Types.
On Windows Vista, Windows 7, or Windows Server 2008, right-click Manage SAS File Types and select Run as Administrator.
Select the product with which a file type needs to be associated.
Select either SAS Foundation or SAS Enterprise Guide, click Select All, and click OK.
Note: If you do not see SAS Foundation in the list, run the utility from here:
C:\Program Files\SASHome\SASFileTypeManagementTool\9.3\SASFileExtensionManager.exe
Now, double-click your file to verify that it opens in the application that you chose to associate your file types with in Step 2.
以上是官网翻译。我操作成功了。

Start ► Programs ► SAS ► Utilities ► Manage SAS File Types.(管理SAS文件类型)记得以管理员身份运行►在guide中把后缀.sas一栏去掉打钩►检查SAS Fundation里.sas前是否打钩,如果没有,请打上钩►确定