Keywords: SQL Server, Reporting Service, Report Manager, Report Builder, Cannot retrieve application, Authentication error, download
On the remote machine(your machine), go to your User Account in Control Panel
Select Manage Network Passwords(in Windows Server 2008, for Windows 7 it is Your Credentials)
Add an entry
Put in the name of the report server
Put in the user and password you use to login (a windows user of the database server)
Apply it
Try to run the report builder app again and it should download and install.
Has to do with permissions not getting passed for non-domain memebers so that the ClickOnce install routine can download the application file.