The SQL Reporting Services features aren't installed by default because you have to install the SQL Server Reporting Services redistributable on your web server.

There are instructions for installing the Report Viewer Visualizer (which supports SQL Server Reporting Services) in the DotNetNuke Online Help manual: http://www.dotnetnuke.com/Resources/Knowledge/DotNetNukeOnlineHelp/tabid/787/TID/3041/cid/417/Default.aspx

Just a few notes about that documentation:

You MUST be able to install software on your web server to use this Visualizer.  Sorry, but Shared Hosting sites aren't supported since (as far as I know) the only legitimate way to get the Microsoft ReportViewer components on the server is through the installer

Also, you MUST be running in a Full Trust environment.  The documentation mentions this, but there is a minor typo.  Where you see this:

Ensure that the " " element in your web.config file is set to "Full".

it should read

Ensure that the ' <trust level="Medium">' element in your web.config file is set to "Full".

Andrew Nurse
DotNetNuke Core Team Member and Reports Module Project Lead
Microsoft Certified Professional Developer

A few google searches turned up these MSDN threads:

http://social.msdn.microsoft.com/forums/en-US/vsreportcontrols/thread/cdf81c32-ac7c-491f-add7-d1c0c6c746eb/

http://social.msdn.microsoft.com/Forums/en-US/vsreportcontrols/thread/377dff1b-e949-43fd-b551-972fd0e526c6/

Those indicate that the assembly is installed in the GAC.  You can get files out of the GAC using the command prompt:

cd %windir%\assembly
cd GAC_MSIL
cd [assembly name]
dir (there will be folders for each version)
cd [version # you want]
dir (the assemblies will be here)
copy [assembly] C:\

Then you can move it from C:\ using explorer.  If you can't find the assembly in the GAC_MSIL folder, try the other folders within the 'assembly' folder

Hope that works!

Andrew Nurse
DotNetNuke Core Team Member and Reports Module Project Lead
Microsoft Certified Professional Developer