A couple of questions:

1. Are you using the ActiveX control in Visual Basic?
2. are you performing any data calculations via ADO on which the report relies?

I ask these because I have found that sometimes it is necessary to place a sleep command in there for a couple of seconds before activating the report. This may acocunt for why the message box works. It is allowing the calculations to run so that by the time you click ok the data is ready for presentation.

Give it a try and experiment with how long of a wait you nees.