In this lecture, the various windows in SAS are introduced, including the Editor window where programming code is written, the Log window where SAS produces a log of code execution and error/warning/note messages, and the Explorer window for navigating data and libraries. The Submit button, located in the Editor window, is used to submit code for execution. It is also mentioned that error messages in the Log window appear in red, warning messages appear in green, and notes appear in blue. The Explorer window includes pre-installed libraries such as SASUSER and SASHELP, as well as the temporary Work library. Data sets can be opened by double-clicking them in the Explorer window. It is also mentioned that the Output window displays results from code execution.