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The Autoexec file is used during the initialization of the SAS session. It contains SAS code that will automatically exececute (unless disabled), hence the name. It can be used to set up configuration macros, run code that the user wants to run whenever they use SAS, and set up temporary tables in the user's WORK directory.
An autoexec file is named autoexec.sas. If you have trouble locating it, you can see steps here to do so. In SAS Enterprise Guide, you can also designate a Process Flow to be automatically executed (more information). This may contain more than one .sas file. For example, a process flow may require tables to be set up that are temporary tables (perhaps example data).