It appears that you have all the values for params CNU, COC, COE, CR, CP in your file trafogeneralizado.dat, so your statements
model trafogeneralizado.mod;
data trafogeneralizado.dat;
in trafogeneralizado.run are sufficient, and you do not need to read the Excel file trafogeneralizado.xls. If you want to read the data from trafogeneralizado.xls instead, then delete it from trafogeneralizado.dat, but be sure to read the set values from trafogeneralizado.dat first:
model trafogeneralizado.mod;
data trafogeneralizado.dat;
table costo "ODBC" "trafogeneralizado.xls":
[SE,MVA,TIME], CNU IN, COC IN, COE IN, CR IN, CP;
read table costo;
The values for the indexing sets of CNU, COC, etc. will then be provided in the .dat file, and thus in particular you will not get the "no data for set SE" message.
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