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I downloaded the Disk Image File

I opened the Disk Image File and ran SSDTSetup

I selected the SQL Server Reporting Services checkbox and clicked the Next button

I agreed to the license terms

Visual Studio 2015 Shell was installed

Setup was successful

I clicked the New Project... link

I selected the Project Server Report option

I right clicked on the Reports folder and selected the Add New Report menu item

I clicked the Next button

I noticed that Microsoft Dynamics was not shown as a data source type

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I installed the Microsoft Dynamics 365 Report Authoring Extension

I accepted the license agreement

I installed Microsoft Application Error Reporting

I clicked the Next button

I clicked the Next button

I clicked the Next button

I clicked the Finish button

I right clicked on the Reports folder and selected the Add New Report menu item (again)

Microsoft Dynamics 365 FetchXML was the default data source type. I entered my https://XXX.crm.dynamics.com URL into the Connection string box and clicked the Next button