SAS/EG has recently been updated to (I believe) 4.1, apparently it's really worth upgrading if you can persuade the powers-that-be.
If you're happy to work in SAS/EG, and arn't going to upgrade to 4.1, then the way to do it is create a query on a table (it's a pain, but in 3.0, the only way to get a parameter is to do a query, 4.1 lets you just set up parameter requests independantly). In the query, from memory, there's a parameters tab, you select that and then set up a request to get the filename you want. This is saved to a macro variable, which remains active for your whole SAS/EG session, and doesn't need to be used in the query you've created. It's a bit ugly but there you go.
If Klaz can help you with AF, that might be the way to go, to check if you have it submit this code
That'll list all your licensed SAS components (not necessarily what is installed, just what you are licensed for).
I think with 9,1, if you're using the metadata repository and Integration Technologies, there are other avenues to persue, for instance, you can set up a web page with some Java script which will allow the user to enter the desired parameters and submit the code without even needing SAS installed on their machine... Personally I've never used this stuff, but I've seen it proved in simple form.