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Check out this full reference on SAS 9.2 and OLEDB style interaction:
SAS 9.2 Providers for OLE DB Cookbook
To know more about ADO.NET OLEDB:
ADO.NET OLEDB
If you are looking for more complete integration than just querying a table then it is possible if you have SAS Integration Technologies licensed:
http://support.sas.com/rnd/itech/doc9/overview/index.html