Net Nanny does not email reports, however you can access them through Remote Management.  To access Reports Remotely, login to Remote Management at https://erelay.contentwatch.com/HomeAdminServlet/ and under Additional Settings for each user check the box next to Allow Remote Viewing of Reports.  Once this is selected you should start seeing data within 1 to 2 hours.

You can also set up Email Notifications.  This enables you to get an email in Real Time, daily or Weekly when a site is Blocked, Warned, someone has been able to Override the Block or when someone has Requested access to a specific site.