<?php
/**
 * Implements hook_preprocess_views_view_grid().
 *
 * Check if there is no result for this group and provide an appropraite message.
 *
 */
function phptemplate_preprocess_views_view_grid(&$variables) {
  if (empty($variables['rows'])) {
    $variables['caption'] = t('No results.');
  }
}

<?php

/**
 * @file
 * Default simple view template to display a rows in a grid.
 *
 * - $rows contains a nested array of rows. Each row contains an array of
 *   columns.
 *
 * @ingroup views_templates
 */
?>
<?php if (!empty($title)) : ?>
  <h3><?php print $title; ?></h3>
<?php endif; ?>

<?php // We check if there is no result we print a meesage ?>
<?php if (empty($rows)) : ?>
  <?php print t('No results.'); ?>
<?php endif; ?>

<table class="<?php print $class; ?>"<?php print $attributes; ?>>
  <?php if (!empty($caption)) : ?>
    <caption><?php print $caption; ?></caption>
  <?php endif; ?>

  <tbody>
    <?php foreach ($rows as $row_number => $columns): ?>
      <tr <?php if ($row_classes[$row_number]) { print 'class="' . $row_classes[$row_number] .'"';  } ?>>
        <?php foreach ($columns as $column_number => $item): ?>
          <td <?php if ($column_classes[$row_number][$column_number]) { print 'class="' . $column_classes[$row_number][$column_number] .'"';  } ?>>
            <?php print $item; ?>
          </td>
        <?php endforeach; ?>
      </tr>
    <?php endforeach; ?>
  </tbody>
</table>