Data Warehouse is a methodology to store your data. You design the data warehouse and then you implement it in SQL Server Database

As mentioned by yayomayn, you need to inform well and study one of the methodologies. I would suggest Kimball. The book "The MicrosoftData Warehouse Toolkit: With SQL Server2005 and the Microsoft Business Intelligence Toolset " will give you pretty much everything you need to start on the right foot.

And just to help you get started on it, a Data Warehouse definetively is not a collection of tables where each table has the results for a particular report. A good design will lead you to build few tables from which most of the reports should be constructed.