There is no direct way of setting a border around the whole report. But, you can use certain workarounds as discussed over the following threads:
Please note, C1Report is in maintenance mode and <font color="blue">FlexReport</font>
is our flagship reporting tool as mentioned here:
Once under maintenance mode, we are only releasing hotfixes to critical issues in C1Report. New features and other issues will be fixed in FlexReport only.