Right-click on any SAS file and several options could appear, including but not limited to 'Open in SAS Enterprise Guide', 'Open in SAS 9.1', 'Submit in SAS 9.1', etc.

In silent installs, multiple SAS version environments, or other registry impacting issues - these options could be rendered useless or simply are no longer listed. Included are KB posts by SAS Support on multiple ways to fix this depending on your latest SAS version available to you:

SAS 8 and SAS 9.1 : http://support.sas.com/kb/16/399.html
(In Step 3, you can also view how new Options can be manually added.)

SAS 9.2 : http://support.sas.com/kb/32/464.html
(In SAS 9.2, the Filetype Registration Utility makes this dramatically simple to address. Thanks for the continuous improvements SAS!)