I'm getting a similar error as this post: http://www.enesyssoftware.com/Forum/tabid/53/forumid/2/threadid/71/scope/posts/Default.aspx 

I'm able to create the Shared Data Source but when I try to create a new report with this shared data source I get this error from Visual Studio:
A connection cannot be made to the database.
Set and test the connection string.
Keyword not supported: 'http://wbn.buildabear.com;integrated security'.
I see the data source type as Enesys SharePoint Lists so I'm not sure where the problem lies.  Do you have any suggestions?

Oh my gosh, I'm an idiot.  I needed the connection string to be server=blah, blah, blah. 

Sorry.