ActiveReports comes with a report designer that connects to Visual Studio. You can connect to data sources and design your reports without running any programs as such, but you need VS.
They also send a component that you can include in your Windows Forms project, which provides a full-featured report designer as a stand-alone executable. Having taken this approach with our products, I must warn that this component is not too flexible and has many features. In the end, we were happy with the executable file that we were able to build and ship with our product, and our end users look quite happy when building their reports with it.
(We run all the reports they create through ASP.Net and display the output on web pages.)
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