It depends on what kind of report you are wanting to achieve? First thing to do is to click on the edit script and create a new tab and call this "Connection", then select "OLE DB" on the Database drop down and click on Connect... Select "Microsoft OLE DB Provider for SQL Server" and click on Next, Type in your server name, login and passsword details and then press OK You will then see a syntax which is basically your connection details. Create another sheet calling this "Data" and load in the tables you require by clicking on the "Select". Once you have selected your tables click on the Reload button. You will then see your tables on the front page of yout document, you can see the relationship between the two tables by pressing Ctrl+T.
