First, as mentioned in the comment, check your data source. In SSRS, r-click on the data source, and select properties. In the properties dialog, check the "connection type". With a value of rsssharepointlist in the dataset, I'm guessing you're using a sharepoint list data source.
If you're using the SharePoint list data source, one consideration is that ...
You should try with LookUpSet instead of lookup,
Returns the first matching value for the specified name from a dataset that contains name/value pairs.
Lookup(source_expression, destination_expression, result_expression, dataset)
Returns the set of matching values for the specified name from a dataset that contains name/value ...
You'll want to follow the directions outlined for SSRS integrated mode installation and configuration. From the sounds of it, you're more familiar with an SSRS native mode installation. Since SSRS integrated doesn't use the same configuration path, your best bet is to read the guide on how to install and configure it properly.
I'd also recommend against it. ...