MySQL or MS SQL? You say one thing in your title and another in your post.
For either one you can set up an ODBC System DSN that points to the database and connect to that to create your report. If you're designing the report on your local workstation, you also need to set up the ODBC connection with the exact same name on your report server so that when you publish your report, it has the connection that it needs to access the data.
-Dell
A computer only does what you actually told it to do - not what you thought you told it to do.