As I mentioned in the comments, your parameter is coming from SSRS as a single comma separated string as such:
@myParameter = 'FirstValue, Second Value Selected, Third Val'
When you try to use the parameter in the IN clause, it is read as such:
select *
from my table
where my column in ('FirstValue, Second Value Selected, Third Val')
This is invalid. The correct syntax would be like below, with quotes around each value.
select *
from my table
where my column in ('FirstValue', 'Second Value Selected', 'Third Val') 
So, you need to find a way to quote each value, which is hard because you don't know how many values there will be. So, the best thing to do is split that parameter into a table, and JOIN to it. Since we use a table-valued function in this example, we use CROSS APPLY.
First, create the function that Jeff Moden made, and so many people use. Or, use STRING_SPLIT if you are on 2016 onward, or make your own. However, anything that uses a recursive CTE, WHILE loop, cursor, etc will be far slower than the one below.
CREATE FUNCTION [dbo].[DelimitedSplit8K]
--===== Define I/O parameters
        (@pString VARCHAR(8000), @pDelimiter CHAR(1))
--WARNING!!! DO NOT USE MAX DATA-TYPES HERE!  IT WILL KILL PERFORMANCE!
RETURNS TABLE WITH SCHEMABINDING AS
 RETURN
--===== "Inline" CTE Driven "Tally Table" produces values from 1 up to 10,000...
     -- enough to cover VARCHAR(8000)
  WITH E1(N) AS (
                 SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL
                 SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL
                 SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1 UNION ALL SELECT 1
                ),                          --10E+1 or 10 rows
       E2(N) AS (SELECT 1 FROM E1 a, E1 b), --10E+2 or 100 rows
       E4(N) AS (SELECT 1 FROM E2 a, E2 b), --10E+4 or 10,000 rows max
 cteTally(N) AS (--==== This provides the "base" CTE and limits the number of rows right up front
                     -- for both a performance gain and prevention of accidental "overruns"
                 SELECT TOP (ISNULL(DATALENGTH(@pString),0)) ROW_NUMBER() OVER (ORDER BY (SELECT NULL)) FROM E4
                ),
cteStart(N1) AS (--==== This returns N+1 (starting position of each "element" just once for each delimiter)
                 SELECT 1 UNION ALL
                 SELECT t.N+1 FROM cteTally t WHERE SUBSTRING(@pString,t.N,1) = @pDelimiter
                ),
cteLen(N1,L1) AS(--==== Return start and length (for use in substring)
                 SELECT s.N1,
                        ISNULL(NULLIF(CHARINDEX(@pDelimiter,@pString,s.N1),0)-s.N1,8000)
                   FROM cteStart s
                )
--===== Do the actual split. The ISNULL/NULLIF combo handles the length for the final element when no delimiter is found.
 SELECT ItemNumber = ROW_NUMBER() OVER(ORDER BY l.N1),
        Item       = SUBSTRING(@pString, l.N1, l.L1)
   FROM cteLen l
;
Then, you simply call that with your function like so:
DB FIDDLE DEMO
create table mytable (Names varchar(64))
insert into mytable values ('Bob'),('Mary'),('Tom'),('Frank')
--this is your parameter from SSRS    
declare @var varchar(4000) = 'Bob,Mary,Janice,Scarlett'
select distinct mytable.*
from mytable
cross apply dbo.DelimitedSplit8K(@var,',') spt
where spt.Item = mytable.Names