Your example shows you are trying to save a JMP table (not a report) as an HTM file which is not an option available in JMP. If that's what you really want to do, then Journal the table and save the resulting Journal as an HTML file which is an available option. Prior to saving the journal you can add row and/or column borders if you want using the right click context menu..
If you have an actual report such as, say, the output of a Distribution, that can directly be saved as an HTML file.
Edited 12/5/14: Managed to replace HTML by pdf in my original reply but now changed it back. Story is the same for HTML and pdf.