In addition to SqlDataAdapter (optimized for SQL Server 2005/Sql Express), you can use OdbcDataAdapter or OleDbDataAdapter to connect to other 3rd party databases, like MySQL.
Here is a nice online article demonstrating this:http://www.aspnet101.com/aspnet101/tutorials.aspx?id=39
And here is the Data Adapters section from Reporting Help, which might be relevant to your case (same steps below apply for all types of Adapters):
You can add a data source to a report by setting the DataSource property of the report to the name of a DataAdapter component (such as a SqlDataAdapter, OdbcDataAdapter, or OleDbDataAdapter). For example, to use a SqlDataAdapter to specify the data source for a report, follow these steps:
You will need a SqlDataAdapter component from the Toolbox. By default, this component is not visible in the design view of a Telerik Report. Right-click the Telerik Reporting 1.0 tab in the Toolbox and select Choose Items.
In the Choose Toolbox Items dialog box, select the check box for the SqlDataAdapter item. Click OK.
Drag a SqlDataAdapter component from the Toolbox to anywhere on the report.
In the Data Adapter Configuration Wizard, click New Connection.
In the Add Connection dialog box, enter the server name and log on information for your SQL Server. Select or enter a database name.
Select Use SQL Statements.
Type a SQL statement that specifies the data for the report. Click Finish.
Select the Report (to do this easily, click in the box at the upper left where the rulers meet).
Set the DataSource property of the Report to sqlDataAdapter1.