You can't really set THE boundary -- the "I will not live in an open marriage" -- unless you're willing to divorce her over it if she continues. And that is something only YOU can decide.
All you can really do is let her know clearly that you WON'T (live in an open marriage, that is), that you don't want a divorce, but that you also won't wait forever.
In the meantime, I'd suggest that you work on lesser boundaries, detaching, and making sure you're not doing anything -- financially or otherwise -- that enable her EA.
I forget -- have you read "NOT Just Friends" yet? You may want to read it, and leave it lying around in the hopes that she picks it up as well.
