Bring up the table properties and select the Visibility tab

Set the Initial visibility to the following expression:

=IIF(Count(Fields!AnyFieldintheDataset.Value, "DatasetName") = 0, True, False)

Which in the example above would be:

=IIF(Count(Fields!CountryRegionCode.Value, "pRepNoRowsReturned") = 0, True, False)

Create a textbox and enter the message you want to display when the resultset is empty, now the the visibility of the text box to the same as the table BUT with the True and False switched around, so in the example above:

=IIF(Count(Fields!CountryRegionCode.Value, "pRepNoRowsReturned") = 0, False, True)

This will also work with other objects e.g. Matrix, Chart, List, Rectangle