If you have a Report Server e.g. as Part of a TFS 2010 Setup, and attempt to access your site locally (e.g. https://servername/Reports/) , you may get the following exception:
User 'DOMAIN\UserName' does not have required permissions. Verify that sufficient permissions have been granted and Windows User Account Control (UAC) restrictions have been addressed.
When creating a new project in TFS, you may also have the same problem accessing the Report server when the TFS 2010 new project wizard attempts to create a new reporting site. You may even be able to access the site remotely but just not on the local box.
To fix the problem, you can just go to Internet Explorer>Tools>Options>Trusted Sites>Sites and add the site experiencing the problems to the Trusted Sites zone.
Full details are here (Point 7 and 8):
Note that you will need to restart Visual Studio for it to pick up the above changes in the TFS 2010 new project wizard.