I got half-way through rebuilding my reports, and thought I'd try something for sh-miles and giggles. I'm not saying this is the most elegant way to do this, but heck it worked, and wound up saving me a bunch of tedious work recreating reports:

1. Close out of VS (necessary because I noticed that the connections seem to be cached once you open a report).
2. Went back into VS, created a new report, added a table using SQL Authentication
3. Dropped a few fields on the report
4. At this point, now SQL Authentication is what is cached.
5. Close and save the report (you can delete it actually, since you no longer need it)
6. Open one of the Window Authenticated Reports
7. Right-Click the design surface and choose Add/Remove Database
8. In the right-hand listbox that is titled Selected Tables, right click on the database - the one with the yellow cylinder icon next to it, and a properties window pops up. You will notice that the Integrated Security property is set to false - this is what you want (integrated security is Windows Authentication, so you dont want it to be true).
9. Click OK to close the properties window.
10. Close the report - you are asked if you want to save changes - choose "Yes"
11. Run that puppy and it works.

Hope this saves someone a lot of frustration < g >,