That will depend on the other server configuration on how it receives authentication info.
Some servers allow urls like http://username:password@servername/path/ others will need the authorization header in the request.
In that case I believe you need to create an extension in Integration Studio to make that call.
"If the other site requires the authorization header in the request how can we do that in OutSystems?"
It is not possible to redirect the end-user's browser to an external site, and specify the headers for such request. This is a browser limitation, not a platform limitation.
However, you can execute HTTP requests in the server to any accessible external web server. This is done via extensions, and in this case you can specify the headers you need.
have you considered using integrated authentication with the Microsoft Reporting Services? In most cases the browser would negotiate the credentials with the server without requesting any information from the end user, and your application could just redirect to the correct URL without any authentication concerns.