SQL Azure is a fully relational database in the cloud by Microsoft. See this link for the main website. For how to connect to Azure using ADO.Net heres a good link from msdn and another link which l’m currently using to work on plugging the northwind sample database to azure and using a WPF datagrid [...]
If you have issues related to security while setting up SSRS 2008 or 2005, you might want to check out this MSDN tutorial for steps you might have missed. http://msdn.microsoft.com/en-us/library/aa337491.aspx