Just in case somebody else (or me, later) will need to fix the same problem:
I have tried to install SQL Server 2005 Express, plus Reporting Services (from Advanced Services). Everything run fine, except that when I try to open http://localhost/Reports$SQLExpress, this error is shown:
"The request failed with HTTP status 401: Unauthorized."
To resolve it I had to open file: C:Program FilesMicrosoft SQL ServerMSSQL.2Reporting ServicesReportManagerRSWebApplication.config, and I had to modify the ReportServerUrl tag to link to the machine name of the server, and not its DNS name.
Specifically instead of MyDomain.com I entered MyServerName, and now everything works great.