If you are On Demand there's not much you can do to the report, Santak's suggestion is your only/best option. If you have you own server version, you might be able to make coding mods to the report. Can't help you there - but that's one of the reason's we're thinking about moving to our own server installation.
In the sprint report, click on the link "view <sprint name> in issue navigator"
This will be on the top right side of the report
When you click this link, you would navigate to the issue navigator
Now you can choose components or any other field from the column drop down
Hope this helps
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