Go to the File menu and select "Print Options". There should be a check-box at the top of the page to set this. However, this is not your problem.
First off, you need to be aware that dynamic parameters are handled differently when a report is published to BusinessObjects or Crystal Server than they are when the report is run outside of those software packages. When publishing the report for the first time, you need to look at the bottom of the "Save As" screen and check the box that says something like "Enable Repository Refresh". This will save your dynamic prompt to the repository. Only do this the FIRST time you save - otherwise you will have duplicate prompts in your repository.
Now you need to run the Business View Manager. If you don't see it on your menu, go to Program Files\Business Objects\BusinessObjects Enterprise 11.5\win32_X86. (If you don't have a BusinessObjects Enterprise 11.5 folder, you'll need to install the client tools that come with your BO or CRS software.) I don't have the software on this computer, but I think the application is "bvm.exe". In this tool you'll find the prompt you just created - it will have several objects related to it. Find the one with the "_DC" suffix - this is your data connection and you'll need to edit it and set the password to the database. Now find the one without any suffix - this is the list of values which needs to be scheduled to run on a regular basis based on how often the data for your parameter changes - right click on this and select Schedule. After it has run, check the properties on this to make sure it ran successfully.
Depending on how you set up the prompt in your report, something else you may want to do after you edit the data connection and before you schedule the list of values is to edit the Data Foundation (_DF suffix). Here you can simplify the query that is used to get the data for the parameter - if you created the parameter based on the full query for your report, you don't necessarily want to run that. If, for example, your data is in a "lookup" table, you really just want to show the data from that table instead. Make sense?
-Dell