We have numerous example programs at /wrds/crsp/samples to help you get started.
In this case, your program is likely to use a data step such as
where event = 'DELIST';
keep permno date hexcd dlstcd dlprc dlret nwperm nextdt;
proc contents data=crsp.mse; run;
to get details about the MSE data file or table. (DSE is basically equivalent but designed to match with the DSF-- daily stock file.)
Also, see the WRDS website's Support section for documents on using the WRDS-UNIX system. You can even browse through the sample programs and see a list of data tables and variables by starting with the 'Dataset List and Sample Programs'
And anything run as a WRDS-UNIX SAS job can be easily be run from PC SAS. See Using PC SAS CONNECT for details about this option.