Can you let us know, about your environment?
Are you talking about an SSRS report? I looked into that a while back, looked to be a real pain because the report viewer web app is built to be part of an ASP page. I would just write the ASP.NET page to handle the report, and maybe put it inside of an I-FRAME on the CF page. You're probably going to have a mess on your hands for managing the access security to the reports.
Would be a nice idea for CF11, if the CF guys wanted to add a really useful piece of Microsoft integration that act as a nice replacement for the never-loved CFREPORT facility. Works really nice in ASP.NET.