Setting up the Reporting Services with a non default database name requires that you create a Script, and change the database names in this script, because otherwise the creation of the databases fails.
Before you can generate the Script, start up the Reporting Services Service in the first Dialog of the Wizard!
In the “Database Setup” Dialog of the Reporting Services Configuration Wizard hit the “Script” Button. (My Database Name is “ReportServer2005).
After the Script has been generated, open it with SQL Server Management Studio (or you favorit Editor), and replace [ReportServerTempDB] with your Database name ([ReportServer2005TempDB]). In my case this was in the lines 14036 and 14047.
After that, you can execute the script. It will generate the databases, and set them up for usage with Reporting Services.