Click on Database (menu item on top of the screen)
click Log on or off Server (Data Explorer window should open up)
Create New Connection
(connect to database server/location)
close the window

Click on Database menu item again
click Set Datasource location
Select the Server Name in "Current Data Source" box:

then select datasource location in "Replace with" box
Click "Update" button (right side of the box)
close the window.

You can now pull the data from your new data source location.
Make sure to set the data source location for Sub Reports too if you have any.