You need to set the database login in your report prior to showing it.  There is sample code in the BusinessObjects Developer Library (http://devlibrary.businessobjects.com/BusinessObjectsXIR2/en/devsuite.htm) that shows how to do this.  Click on "Crystal Reports .NET SDK" to get to it.  I HIGHLY recommend that you go through at least some of the ".NET Developer Guide and API Reference" section to get a better understanding of how all of the pieces fit together.  Also, Brian's Crystal Reports .NET Programming book has a LOT of good info in it.  The current version applies specifically to VS 2003, but a lot of the info also applies to 2005.  You can download a couple of chapters here:  http://www.crystalreportsbook.com/crystal_reports_net_book_index.asp.