After 12 hours of analyzing, DB Tuning Advisor started step 4 "Generating Reports", but finished with a warning. The Tuning Log had some error messages at the end, similar to:
Error encountered while generating reports. Write to [msdb].[dbo].[DTA_reports_table] failed.
[Microsoft][SQL Native Client]Unable to resolve column level collations
SQL Server and DTA are running on different Win2K3 machines.
I don't know where to start looking... Hints?