SAS searches for macros in directories specified by the -set sasautos
option, which is set in the SAS configuration file. In order for
SAS to find the glimmix macro you need to add the name of the directory that
contains the glimmix macro  to the list of pathnames in the -set sasautos
command in the file c:\program files\SAS Institute\SAS\V8\sasv8.cfg.  I have
the glimmix macro stored in the directory c:\glimmix, so my -set
sasautos command looks like this:
 
/* Setup the SAS System autocall library
definition */

-SET SASAUTOS (

"!sasroot\core\sasmacro"

"!sasext0\assist\sasmacro"

"!sasext0\eis\sasmacro"

"!sasext0\ets\sasmacro"

"!sasext0\graph\sasmacro"

"!sasext0\or\sasmacro"

"!sasext0\qc\sasmacro"

"!sasext0\stat\sasmacro"

"c:\glimmix"

)

 

All of it was there by default except
the last line
("c:\glimmix").