[Ivanhoe]

You can't build SSRS report in AX client. There are two ways:
1. Report Builder (it's not AX - it's a tool from SQL Reporting Services). Such report can't be linked to AX menu - it can be launced only from Report Manager web-site.
2. Visual Studio. When you've created a Solution, containing a report, you can save it to AOD (there's such an option in Visual Studio with extension of AX-reporting). After doing this and restarting AX, you will find your solution in the Library section of AOT. Afterwards you can point a menu item to your report.