Answer
In New Permission Set, go to the Presentation Objects by Component tab and locate the report's own presentation object (reports are typically named like repCUST_AGE_ANALYSIS_REP, filed under the relevant functional folder — e.g. Payment Ledger for a ledger-related report). RMB on that presentation object and select Show Grantees to see which permission sets already have it granted; then grant one of those existing permission sets to the user (or add the report grant to whichever permission set she already holds) so it appears in her report list.