There is no way to have a MsgBox appear. However, you can use put information on the report that only appears when there's no data.
Put a text field in it's own section on the report. In the text field, put something like the following:
The parameter {?parameter} did not return any data.
In the suppress formula for this section, put something like:
not IsNull({table.field that always has data})
This way, the message will display in the viewer instead of a blank report.
-Dell
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