You have a couple of options here:
1. Click on the report in the report menu (you don't have to open it.)
Then, from the File menu, select Export. When the dialog opens, go to the
'Save As' combobox on the dialog and choose the format you want to save in.
(I recommend Snapshot (*.snp) as it saves an exact copy of the report and
preserves all of your formatting. Lastly, name your file and select your
save location.
2. You could also print to the 'Microsoft Office Document Image Writer' or,
if installed on your system, the 'Microsoft XPS Document Writer'. This
method uses the same process as when you print to a PDF printer... just
select one of these instead of your default printer, and a dialog will open
prompting you for a save file location.