When you want to analyze a different data set, the software offers you a selection list of the data sets that are currently available. To bring up this list, select 'New' from the File pull-down menu or select the 'Data set:' keyword from the body of the main window.
If the data set you want to analyze does not yet exist, you may be able to create it through SAS/LAB software. From the list of available data sets, press the button for a list of the data set creation facilities.
When you change data sets, SAS/LAB software checks to see whether it has any information saved from previous analysis of that data set. If so, that information is used. In addition, SAS/LAB software checks characteristics of the data set and, in some cases, can automatically assign the appropriate analysis type, response variable, and so forth.