I've run into some issues recently with CRM 4.0 and Reporting Services. This is a recent installation of CRM 4.0 and this was not an upgrade. I have my CRM and SQL Server 2005 with SSRS all on the same server. I'm using a Host Header for the CRM site and the Server Name for the Reporting Services URL.
My user started reporting this error attached in the screen shot. This isn't a very informational error message, so I needed to do some investigating.
I found errors in my Application logs on my CRM server. That pointed at the Reporting Services URL.
From the application log:
Web service request CreateReport to Report Server http://%22report%20server/ReportService2005.asmx failed. Error: The request failed with HTTP status 400: Bad Request.
This error is because of the Reporting Service URL configuration in CRM.
To resolve this do the following:
1) Start > Programs > Microsofto Dynamics CRM > Deployment Manager.
2) Select Organization, then Select your Organization.
*Note: This next step will cause an interruption for your users.
3)Select Disable your Organization and then select Properties
4) Under the Microsoft Dynamics CRM SRS Data Connection URL, Change the URL to http://SERVER/reportserver
*Note: "SERVER" should be the web server where reporting services is being served from.
5) Click Ok, and Enable your Organization again.
6) Restart Reporting Services Application Pool
You can test your changes by hitting http://SERVER/reportserver and you should see basically a blank page that says Reporting Services.