is there a way to display a message for views if there are no results? I am using user relationships and activity feed, which displays actions from a existing view.  If no view exists, it means either they have no friends or their friends have no activity so is there a way to have a message displayed for no results?
For Drupal 7 / Views 3 the answer would be:

Check the "Advanced" Options on the right side. There you can add a "NO RESULTS BEHAVIOR".