This could be the problem because of providing right permissions on the report server. You can check this by going to " System Administration → Setup → Business Intelligence → Report Server" Get url from the report server form and try to access it on browser. Check if you are able to see the dynamics AX folder on the report server. If you are unable to access then please do get right permissions and make sure you are able to see that folder and then try running the report again.
If this doesn’t work for you then please also try below steps:
Go to Start Menu
Write Local Security Policy
Click on Local Policies
Open user rights assignment
Double click access this computer from a network