Check out the "Show Custom Dialog" script step. You can set up 1, 2, or 3 buttons to perform the additional steps, or the scripts you want. Usually used along with a If [Get(LastMessageChoice) = ]. You put in the value after "=" to evaluate the button they choose.
As far as finding no records....look into If [Get (FoundCount) = 0] , then you can use a "Show Custom Dialog" to provide the message you want, or simply a "Modify Last Find" script step. But you probably want the user to know no records were found so they don't keep searching and not know why.
For scripted finds, use this step before the Perform Find step: Set Error Capture [on]
It will supress the standard error dialog that otherwise pops up when no records are found.
You may find this thread on scripted finds helpful: Scripted Find Examples
Thanks guys, Both answers were good, I now have prompts asking me questions when I want it and annoying prompts that I have no need of have gone.