Yes you must report a rollover from a 401(k) to an IRA. Enter the Form 1099-R exactly as received under Wages & Income (or Personal Income) -> Retirement Plans and Social Security -> IRA, 401(k), Pension Plan Withdrawals (1099-R), then answer the follow-up questions.
A distribution from your IRA is a separate transaction and must be reported separately by entering the Form 1099-R from the IRA custodian.
