We report upper limits on the polarization of the cosmic microwave background radiation (CMBR) as measured with the Cosmic Background Imager (CBI), a 13 element interferometer that operates in the 26 - 36 GHz band and is sited on Llano de Chajnantor in northern Chile. The array consists of 90 cm Cassegrain antennas mounted on a steerable platform that can be rotated about the optical axis to facilitate polarization observations. The CBI employs single-mode circularly polarized receivers, and it samples multipoles from l similar to 400 to l similar to 3500. The polarization data were calibrated on 3C 279 and Taurus A. The polarization observations consist of 278 hr of data on two fields taken in 2000, during the first CBI observing season. A joint likelihood analysis of the two fields yields three upper limits (95% confidence limit) for C-l(EE) = C(EE)l( l + 1)/2 pi under the assumption that C-l(BB) = 0.49.0 mu K-2 ( l = 603), 164 mu K-2 ( l = 1144), and 630 mu K-2 ( l = 2048).