When you download the Standalone Report Designer you can start designing reports.
To configure a SqlDataSource component, please follow How to: Connect to a SQL Database.
The wizard will help you build the connection and to store it in the repo4rt or save it by name.
If you save the connection by name(alias), after publishing the report the connection string will be saved on the server, and you will be able to modify it from the Admin module (Data tab) of the Report Server.
An example of a connection string to MSSQL database.
"Data Source=.\mssqlserver2014;Initial Catalog=AdventureWorks;Integrated Security=SSPI"
More manually written connection strings can be found here
Let us know if you need further help.
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