Report Actions are components you can add to your report to perform specific tasks. This task is backed by a Stored Procedure that you have written and authorized. In the related cell in the worksheet/report all they are is an enhanced syntax of the CEXECSTOREDPROC formula to give a very configurable means of running a stored procedure from a published report and returning a result either each time the report is calculated or when the user performs a specific action.
From the Excel ribbon, you can press the “Report Action” button to launch a form that will help you build a new Report Action. If the current cell is an existing Report Action (read: has a CEXECSTOREDPROC formula in it), then it will show its details for you to modify.