Set Error Capture [on]
Perform Find 
Set Error Capture [off]
Use the step SetErrorCapture[on] berfore the "Perform Find" step. That will trap the error. Think about turning it back off afterwards if it makes sense to do so.
Be careful and think it through, though. If you are performing the find with error capture on, it's often because you want one thing to happen if there is a record(s) found and another if there are none. Make sure that you aren't supressing a needed result.
Other than that, ErrorCapture is what you're after...browse the forum for it to find a number of good applications (and dangers) of using it.
Enjoy the day!
Edit: darn, Phil beat me again.