You must install the reporting extensions (SrsDataConnectorSetup.exe) directly on the SSRS server you are using for your CRM deployment.
SSRS must be running on a SQL Server 2008 server, but this might not be the SQL server you are using for your CRM config and organisation databases (for high-performance or high-security environments SSRS might not be on the main database server)
Open Deployment Manager and select the Organisation you created during installation of CRM. In the right navigation pane, choose properties, and in there you can check the SSRS server you chose is the right one.
Hope this helps.
Adam Vero, Microsoft Certified Trainer | Microsoft Community Contributor 2011
Blog: Getting IT Right