Unless the reservation was made through the SAS web page, I don't think you can access it on the SAS web site (I can't access reservations made by the TA).

Depending on what booking system used by your travel agent, the reservation should be possible to see using www.virtuallythere.com or www.checkmytrip.com.

Also note that the booking reference given to you by the TA is different from the booking references used by each airline.
When I fly I get three references, one overall trip reference from the TA (6 letters, Sabre), one for UA flights (6 letters/digits) and one for SAS flights (5 letters/digits).
If your TA made the reservation using Sabre, you can use virtuallythere.com to access your reservations and see all three reference numbers.
Having the SAS reference makes it a lot quicker if you call them to ask anything about your reservation. Even having the SAS reference number usually doesn't let you see your reservation on the SAS web page, so using the web sites provided by the booking system providers is your best bet.

Added: SAS has decided to start using Amadeus for their web pages (now they use ResAid). This means that in the future it should be possible to see your reservation on the SAS web page if your travel agent uses Amadeus.