In reply to Rommel.

If the covariances are in four separate variables "x1":"x4", read those variables and then use the SHAPE function to recast each 1x4 row as a 2x2 matrix before you use it. If the covariances are in two variables {x1 x2} and extends across two rows, use READ NEXT 2 VAR {x1 x2} INTO COV within a DO DATA loop, as demonstrated in this article on reading blocks of data.

If this doesn't answer your question, post your question and example data to the SAS/IML Support Community