>I have found advice on line that this is a user security issue, and that I need to set file permissions, but I never had to do that before (I used to have IIS working, but had re-formatted and re-installed everything on this PC). If I check the Directory Security for the default web site I see Anonymous access is allowed for IUSR_MyMachine Name.
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>Can any IIS/Reporting Services person talk me through this, please?

Did you already set Windows permissions on the home directory? IUSR_MachineName must be granted read permission (at least) to the Windows folders you'll use, if you require anonymous access.