When you add drill-through, you will see a new file type in the Files of type drop-down box. The file type is called ReportNet Report Viewer file (.crr). There is no physical file which matches this file type, rather it is used as a convenience when defining drill-through to Cognos ReportNet. The name of the .crr file is the name of the target Cognos ReportNet report, and the two names must match exactly, as there can be many drill targets.
Note: The ReportNet Report Viewer file "type" drills-through to Cognos Report Studio.