Clickthrough doesn't only matter on the underlying reporting server's capability which supplies the data, but also if the report designer application (in our case Report Builder 3.0) support it too.
@djangojazz is using SSDS (successor of BIDS) in his solution, and it also requires cubes. I think @ChargerIIC wanted to use Report Builder. It seems that Report Builder 3.0 is not a successor of Report Builder 1.0 in all respects. Particularly this clickthrough feature may be a difference.
See Report Builder 3.0 FAQ: http://download.microsoft.com/download/7/F/D/7FDAA75C-1273-4DFE-8EC6-D9699C3EE47F/SQL_Server_2008_R2_Report_Builder_3_0FAQs.docx
See the question: "What are the key differences between Report Builder 1.0 and Report Builder 3.0?". The last row in the answer table is crossed out, but it says that 1.0 support infinite click through, while 3.0 is manual.
"Q. Is this a replacement for Report Builder 1.0? A. Not for this release. It does replace Report Builder 2.0 but there is still some additional functionality from Report Builder 1.0 that did not make it into this release that has been prioritized for a future release."