I know that SAS can easily generate random samples for know distributions - normal, exponential, uniform. But how can I generate a random sample from a known probability distribution (that is not listed)?

The probability distribution is rather simple: f(x) = 2x^-3

So, how can I generate a random sample of X's that come from this distribution?

This isn't the best way, but I think you can do it by generating uniform random numbers between 0 and 1. Denote these random numbers \(F(x_1), F(x_2), ..., F(x_{1000}), ...\) Then you can find \(x_1, x_2, ..., x_{1000}, ...\) since you know \(F(x)=1-\frac{1}{x^2}\); pick the \(x\) such that \(x>1\)