If you had SAS 9.2, I would point you to PROC SOAP and PROC HTTP.

With SAS 9.1.3, you might be able to use FILENAME URL or FILENAME FTP to access data on the web. But if it's strictly through a web service, you might not be able to do this in a SAS program.

Another approach: you could create a custom task for SAS Enterprise Guide 4.1 (using Microsoft .NET technologies) and connect to the web service that way, bringing the data into the SAS Enterprise Guide process where you could transform it into a SAS data set.

Chris