When you say create a drillthrough report in CRM 4, you really have two options.
1. In the report wizard, if you do a report that has a chart, the chart will drill through to the report, so you can summarize the data on a chart and drill through to a table with more data.
2. In SQL Reporting services, you can right click on any textbox or table cell, select properties, and go to the navigation tab. You can either have it go to another report or enter a URL. This hyperlink will be dynamic to whatever data is in the row of your report. For example, if I choose to go to a report and set the parameter to pass the accountid to the subreport, it will pass the accountid of whatever record is in that row.
I would recommend that you color the text blue and underline it so consumers of your report know that it is a hyperlink.
