zenith,
Add a data item to your query (doesn't have to be displayed in the report) called "RowNum". Define it as running-count(RowNum()).
Then create a boolean variable called "varNoRows" defined as [RowNum] < 1.
Add a conditional block to the header based on varNoRows and set current box to "Yes". Then create a text item "No Data" and place it inside the conditional block.
I haven't tried this but it should work. HTH
Keep us posted.