OOPs- My apologies to all who hit permissions problems, you need to add something like:

"CodeGroup class="UnionCodeGroup"

version="1"

PermissionSetName="FullTrust"

Name="MyCodeGroup"

Description="Code group for my data processing extension">

"

To the rssrvpolicy.config file (probably in Program Files\Microsoft SQL Server\MSSQL.3\Reporting Services\ReportServer\)

This is adapted from : http://support.microsoft.com/kb/920769

Where you can find more details.