Just had a quick contact with Menno te Koppele and he indicated me that I need to install the SRS connector of the SQL 2005 CD. I just installed SP2 of SQL 2005, but that wasn't enough.
On the server cd of Microsoft Dynamics CRM 4 CTP3 you can also find a folder of the SRSDataConnector. Please run the setup and this should solve your problems.
Many thanks to Menno.