Follow the below steps to create shared datasets:
1. Select New from the menu bar.
2. Click on Dataset.
3. This will either launch Report Builder or prompt you to download it.
4. On the New Report or Dataset dialog, select a data source connection to use for this dataset. You may need to browse to the location of the shared data source.
5. Select Create.
6. Build your dataset and then select the save icon in the upper left to save the dataset back to the report server.
For more information on Shared datasets, refer below article.