One of the fine people over at EMC (nee Conchango) describes a permission you need to set to enable the Task Board report to work. Just look at the blog entry Scrum for Team System : Task Board Report for the details.
Bonus points-they have a SQL script that will add the permissions for you. You just need to hit ctrl-shift-m and fill in the info. In my case, it was just the user name "domain\tfsReports".