Here is a utility to do a rename all file with file extention .mp3 to 001.mp3, 002mp3, etc under folder c:\downloads.
%let dir= c:\downloads;
filename s pipe "dir &dir.\*.mp3/b";
data _null_;
length name nname $30 cmd $80;
infile s;
input name;
n+1;
nname=put(n,z3.)||'.'||scan( name,2,'.');
cmd="ren &dir.\"||trim(name)||" "|| nname;
put cmd=;
call system(cmd);
run;