SAS (from SAS Inc) is not going to run without installation and a truck load of support files. (They gave up supplying the system on a series of DVD's years ago when the system became too big for DVD installation). Just running SAS.EXE will not get you far.
When SAS.EXE is run it checks for a valid licence information file. If that is available (and valid) then it checks for a config file and an autoexec file. What the system will ultimately do will be determined in the script file autoexec.sas or other file script pointed to by config or called from the autoexec processing or from inline command parameters.
There is another possibility and that is someone else (Not SAS Inc) has produced a SAS.EXE file which does something completely different.
Do you have any more information (like context where the SAS.EXE is run)?