Apply any necessary filters, or open the Filter panel and click Apply without selecting filters.
Click on the Actions button at the top right and select Export. A .csv file containing the report should be immediately downloaded onto your computer.
The .csv file will contain a column called "Enrolled Courses" which lists the number of courses the learner has been enrolled in:
Filtering on this column and selecting 0 will allow you to see the list of learners who have not yet been enrolled in a course: