I've been married to a non US citizen for 33mos. He just left me this weekend claiming that he now wants to be single but took one car, hand his legal documents. He has a conditional green card status. What should I do legally?

The car in his name?
Any idea where he might have went?

No the car is in mine name. And should I report him to INS and if so is there a set time is should report it by?

If the car is in your name, contact the leasing company... they will bring it back to you with little expenses. If you purchased it with cash, you may report stolen.

File a divorce ASAP, once the divorce is final, submit a copy of your divorce decree to USCIS stating that your marriage has been terminated. Leave the rest to immigration.