Sort the data sets by the ID variable. Both data sets must be sorted by the variable that will be used as the ID variable in the PROC COMPARE step. OUT= specifies the location of the sorted data.

proc sort data=proclib.emp95 out=emp95_byidnum;
   by idnum;
run;

proc sort data=proclib.emp96 out=emp96_byidnum;
   by idnum;
run;