If you stick a file named autoexec.sas in the directory where SAS is installed, it will run automatically when SAS starts up. By default, this place is C:Program FilesSASHomeSASFoundation9.3. This has worked since at least SAS 8.2, probably before.

I like to use my Windows desktop as a temporary staging area, so I have my autoexec.sas automatically assign a "DESKTOP" library with this code:

%let USERPROFILE=%sysget(USERPROFILE);
libname desktop "&USERPROFILEDesktop";

So when SAS starts up, the library is assigned and my log says this:

NOTE: Copyright (c) 2002-2010 by SAS Institute Inc., Cary, NC, USA.
NOTE: SAS (r) Proprietary Software 9.3 (TS1M2)
      Licensed to Microsoft Windows for x64 All Compatible Non-Plann, Site  XXXXXXX.
NOTE: This session is executing on the X64_7PRO  platform.



NOTE: Enhanced analytical products:

SAS/STAT 12.1, SAS/ETS 12.1, SAS/OR 12.2, SAS/IML 12.1, SAS/QC 12.1

NOTE: SAS initialization used:
      real time           0.65 seconds
      cpu time            0.63 seconds


NOTE: AUTOEXEC processing beginning; file is C:Program
      FilesSASHomeSASFoundation9.3autoexec.sas.

NOTE: Libref DESKTOP was successfully assigned as follows:
      Engine:        V9
      Physical Name: C:UsersphilihpDesktop

NOTE: AUTOEXEC processing completed.