Ensure that SAS Local Server is set to 1.
Check that the SAS Executable value reflects the physical location of the file.
Check that the value in brackets in the SAS Parameters is the same values as the Data Source.
 
When everything is set, select the 'Connection' tab and click on the 'Test Connection' button. Make sure that SAS is not open prior to pressing the button. The test should be successful if all settings are correct.