IN IE, the default behavior is to hide the true error. You'll get better information if you go to "internet options" in the tools menu, click on the advanced tab, and uncheck "show friendly HTTP error messages."
There is a similar setting for IIS (You posted under 2005, so I think you're using IIS). You can enable detailed error messages from "Computer Management" (on the server), select "Internet Information Services (IIS) Manager" under "Services" in the left tree view.
In IIS 7, the following will work: select the ssrs site in the rmiddle tree view, open "Error Pages" from the right pane, select "Edit Features" from the right-hand list, and ensure that "detailed errors" is selected.
I don't remember how to do this from earlier versions of IIS (it's easier though) but the features are named roughly the same, so with a bit of searching or googling you should be able to find it.
Dan Guzman - Not the MVP (7/22/2010)
All questions have to be prefaced by Server version and 'according to MS Docs' or 'my own personal opinion based on how much detail I felt like digging into at the time.'