First of all let me correct your misunderstanding: If you're using SQL Server NOT every IDataReader will be able to read data from your MS SQL Server
In the .NET environment (which I assume your question applies to) there are two concrete classes implementing IDataReader that can Access SQL Server. One is SQLDataReader and another one is OleDbDataReader. OleDbDataReader actually relies on the OleDb protocol, which is basically an RDBMS communication protocol.
Using IDataReader in your code will (more or less) make sure you can replace the concrete datareader behind it (e.g. giving you the ability to switch database vendors. Not that I know anyone who successfully did that).
For acessing SQL Server, the specialized SQLDataReader is faster by 115% according this source, because it uses the native sql server protocols (named pipes/tcp/ip). It also supports special SQL Server features such as MARS.