Although an open wall may make a watchable surface for projecting a movie, there are a few reasons this type of surface is less than ideal. First, the wall may have holes, bumps and other defects that distort the picture. Because the paint on the wall is not designed for this use, it may absorb too much of the light (particularly if it's an off-white color or has a matte finish), reflect it in a way that catches light and glares (particularly if it's gloss or semi-gloss paint) or affect the intended color balance of the image (even walls that are actually white can make darks too bright). Without a border, the wall also lacks focus and elegance. There are a number of ways your can improve these conditions.
Spackling and sanding your wall will give you a clean, smooth surface to work on. The ideal color to paint in is actually a light gray, which compensates for the effect that projecting an image in light has of losing darker colors. There are a few paints that are actually designed for painting projection screens, light grays that reflect the color and light correctly, like Goo System's digital grey "ScreenGoo" and Behr's "SilverScreen" color.
There are a few ways you can build borders for your projection screen as well. Using moulding painted black can be simple and nice, although black paint can reflect light in a way that will make this border distracting from your movie. Covering moulding or pieces of wood with black fabric may be a little more time consuming, but will do better to absorb the light that will hit in, and it will look elegant when the lights in the room are on. Curtains can also be hung on either side of your screen, creating something reminiscent of a theatre. Another option is black tape, including specialty framing tape like "Flok," which is designed to be a non-reflective border that is easy to install.
If you're hoping to build a portable screen, so you can take it with you when you move or put it up in your home without making any permanent changes to your walls, the border will become more important for necessary structure while you'll need to find an alternative material for the screen itself. You can get large white seamless roll paper from a local photography shop or use white fabric. An old sheet, like an open wall, will function for this purpose, but isn't ideal. A fabric called curtain backing or black-out cloth will work much better, as it's actually designed to stop light from traveling through the material. Either of these materials can be pulled taunt and attached to a frame for a projection screen.