In reply to Carlos Eduardo Balbi da Silveira.

The best place to get help with programming questions is the SAS Support Communities. I've written several articles that show how to simulate a random walk. The actual code you need depends on the dimensions of the problem (1-D, 2-D, etc) and the distribution that determines how the next location depends on the previous location. See some of these articles to get started:

Simulate a random walk (and the first comment)
The drunkard's walk in one dimension.
The drunkard's walk in two dimensions.