In almost all cases you will want to use the connection that is embedded in the report. That is, you will want to check the box that says "Use Report Settings."
In some cases you will want users to have access to different data-sources with the same report. You could give out multiple reports with different data-source references, or you could override the database reference in the report using The Report Viewer. Important Note: The data-source reference override feature in The Report Viewer will only work on reports that only reference one data-source. If your report references both an ODBC database and an Excel spreadsheet, the override feature will override both databases, and that's not what you want.
Also note when overriding the databases, The Report Viewer can not generally connect directly to your database. You need to override it to connect to a driver. So, if your data-source is an ODBC database, set the server and database fields to the DSN of the ODBC driver. Overriding a database connection takes some trial and error to get it correct. It helps if you understand how to create database connection strings.
If you are sure you want to override a reports database connection setting, uncheck the box that says "Use Report Settings," and highlight the connection setting you want to use. Then, open the report. The connection settings are overridden for all databases in that report, and in all sub-reports.
When you click the "scan for system ODBC sources" command button, the software will search the Windows registry for ODBC data sources that are configured in your system, and it will attempt to set them up for you.