Actually, this isn't simple at all. As far as I know, there is no way to do it.
You are probably referring to the "no rows selected" message generated in an Oracle SQL*Plus session when no rows are returned from your query. It's easy to suppress this message completely. The command to do this is
set feedback off
Unfortunately, that's not what you want. You want to see the message, but change the text. That's difficult because it looks as if the message is hard-coded in a SQL*Plus message file. On my Windows NT workstation with Oracle 8.1.7 client installed, I found the "no rows selected" text in the file {oracle home}\sqlplus\mesg\sp2us.msb
You might think that it would be possible to manually edit the sp2us.msb file, but it didn't work for me. I tried editing it in Notepad, but when I saved it and tried to open SQL*Plus, I got a "file not found" error. Apparently my editing had messed up the file enough that SQL*Plus no longer recognised it. Fortunately I had saved an unedited copy of the file, so I was able to restore it.
All in all, I would say that you should give up and accept the message text that SQL*Plus is generating. Trying to change the message just doesn't seem worth the effort.