I regularly connect to multiple databases in reports with no problems. I'm using Oracle, but it shouldn't be much different in SQL Server. In the rare cases where there is no logical link between the two sets of data, I usually have to use a subreport to pull data from the second database.
I have one report that's pulling data from 8 databases - a main table from one database that links to a table in each of the others with one subreport for each additional database. It takes a while to run, but it works well.
If you need to actually combine the data and there's no relationship, you'll probably have to set up a connection between the two and a view that will pull all of the data using a union query.
-Dell
A computer only does what you actually told it to do - not what you thought you told it to do.