When you save the report from your browser, you need to choose to save it as “Web page, complete” and it will save the graphics files and CSS files in a directory where you save the HTML file.

You will want to then move the HTML file and the associated directory as a group together.

Alternately, if you are using IE, you can choose to save the file as a single file web archive which creates an .MHT extension filename that will contain everything in one file.