displaying a msg if a dataset returns 0 rows

Please be more detailed. Which report? You have also selected proper forum

You check the row count of the DataTable to see if the query returns any data:

DataTable dt = ???;// Set the DataSource by querying the DB

if(dt.Rows.Count >0){
// Populate your control here with the data from your DataTable
}
else{
//Show no records found in a Label control
}