I don't know for sure which event to put the code in, but I'm thinking it will be an event in the Report object. Try this...
Private Sub Report_Error(DataErr As Integer, Response As Integer)
Select Case DataErr
' try each one of these lines to see what works.
DoCmd.Close acReport, Me.Name
' you may want to try setting the Response variable to something too...I'm not sure how to use it though.
' trap for some other numbers if you want...
MsgBox "An unexpected error occured..."