In reply to Anjan S.

Anjan, if you don't mind writing a little bit of code, you can use the FDELETE function. You can also produce all of the results that you intend to download in a TEMP area (for example, the same folder as WORK). When the SAS session ends, those files will be deleted. Use %sysfunc(getoption(WORK)) to find the root folder for WORK in your session.