A screen that conforms to the borehole shape after expansion is disclosed. The screen comprises a compliant outer layer that takes the borehole shape on expansion. The outer layer is formed having holes to permit production flow. The material that is selected preferably swells with prolonged contact to well fluids to further close off annular gaps after expansion. In an alternative embodiment, the screen is not expanded and the swelling of the material alone closes off annular gaps. The outer sleeve is placed over the screen and the screen is placed on a base pipe and initially expanded from within the base pipe to secure the components of the screen assembly for running downhole, while minimizing or eliminating any welding among the layers. A variety of expansion tools can be used to expand the screen or screens downhole.