I searched for how to do it and I came up with this:

-IF &LINES = 0 THEN GOTO NOREPORT ELSE GOTO PRINTOUT;

-NOREPORT
DEFINE FILE CAR
NORPT/A15 = 'NO DATA FOUND';
END

TABLE FILE CAR
PRINT
NORPT AS ''
COUNTRY NOPRINT
WHERE RECORDLIMIT EQ 1

-GOTO HSTYLE

-PRINTOUT

But this doesn't seem to work on PDF.

Use Following Code after -NOREPORT page
-NOREPORT
TABLE FILE CAR
SUM
CAR NOPRINT
HEADING CENTER
""<25>No Data to Display &DATE"
"<25>Date: <+0>&DATE<+0>; Time:<+0> &TOD<+0>"
ON TABLE SET PAGE-NUM OFF
ON TABLE NOTOTAL
ON TABLE PCHOLD FORMAT PDF
END
-EXIT

It makes no difference what format of output you've selected for the report. The Dialogue Manager IF statement is executed regardless of format.

-IF &LINES EQ 0 THEN GOTO NOREPORT ELSE GOTO PRINTOUT;

-NOREPORT
-*-- Display empty report message

JOIN CLEAR *
TABLE FILE EXPENSEBASE
PRINT EXPENSEDATE NOPRINT
IF RECORDLIMIT EQ 1
IF READLIMIT EQ 1

ON TABLE SUBHEAD
" "
"-----------------------------------------------------------------------------"
"No Data was found for the selected parameters"
"-----------------------------------------------------------------------------"
" "
" "
ON TABLE HOLD AS HOLDREP1 FORMAT HTMTABLE

ON TABLE SET STYLE *
...
ENDSTYLE
END
-RUN
-EXIT

PRINTOUT
...

Francis, I tried that as well in my drilldown report, pretty much exactly what you had. But that doesn't work either.
What is see when I run the report is a PDF file that looks like this:

0

F FYTD Actual
Category
____________________________________

OK, this is most likely because you have SET EMPTYREPORT=ON.

If there is a HOLD file creation prior to the report,do the &LINES test just after the HOLD file creation, or do not code SET EMPTYREPORT=ON.

I have the &Line after the HOLD file so I don't think that's the problem.
If I don't code the set emptyreport = on then I just get the No HTML Output screen.

When you use -IF or -SET &.. this is Dialogue Manager. If you have WebFOCUS code (DEFINE, JOIN, TABLE, etc) between the Dialogue Manager code, unless you add a -RUN right after the END statement, the WebFOCUS code will NOT execute until all the Dialogue Manager code executes, so I always make sure I add a -RUN after each END statement and after a set of JOIN statements...

Yea I learnt that in the intermediate WebFocus course that I took. So I hate to say it but I have -RUN after every JOIN and every END statement.

Could it be the invalid syntax of the -IF statement:

-IF &LINES = 0

should be

-IF &LINES EQ 0

Try this:

Create fex 1 as follows:

-* File testdrilldown.fex
TABLE FILE CAR
SUM
     BODYTYPE
     SALES
BY COUNTRY
BY CAR
BY MODEL
HEADING
""
FOOTING
""
ON TABLE SET PAGE-NUM OFF
ON TABLE NOTOTAL
ON TABLE PCHOLD FORMAT PDF
ON TABLE SET HTMLCSS ON
ON TABLE SET STYLE *
     UNITS=IN,
     SQUEEZE=ON,
     ORIENTATION=PORTRAIT,
$
TYPE=REPORT,
     GRID=OFF,
     FONT='ARIAL',
     SIZE=9,
$
TYPE=DATA,
     COLUMN=N4,
     FOCEXEC=testdrilldown2.fex(CNTRY=N1 CR=N2 BDYTYP=N4),
$
TYPE=DATA,
     COLUMN=N4,
     TARGET='_blank',
$
ENDSTYLE
END
-RUN

Then create drilldown fex (named testdrilldown2.fex) as follows:

-* File testdrilldown2.fex
-DEFAULT &CR='JAGUAR'
-DEFAULT &CNTRY='ENGLAND'
-DEFAULT &BDYTYP='CONVERTIBLE'
TABLE FILE CAR
SUM  COMPUTE DEALER_NET/D7=SALES - DEALER_COST;
BY COUNTRY
BY CAR
BY BODYTYPE
HEADING
""
FOOTING
""
WHERE COUNTRY EQ '&CNTRY';
WHERE CAR EQ '&CR';
WHERE BODYTYPE EQ '&BDYTYP';
WHERE SALES GT 0;
ON TABLE SET PAGE-NUM OFF
ON TABLE NOTOTAL
ON TABLE PCHOLD FORMAT PDF
ON TABLE SET HTMLCSS ON
ON TABLE SET STYLE *
     UNITS=IN,
     SQUEEZE=ON,
     ORIENTATION=PORTRAIT,
$
TYPE=REPORT,
     GRID=OFF,
     FONT='ARIAL',
     SIZE=9,
$
ENDSTYLE
END
-IF &RECORDS NE 0 THEN GOTO ENDFEX;
TABLE FILE CAR
SUM
CAR NOPRINT
HEADING CENTER
"<25>No Data to Display &DATE"
"<25>Date: <+0>&DATE<+0>; Time:<+0> &TOD<+0>"
ON TABLE SET PAGE-NUM OFF
ON TABLE NOTOTAL
ON TABLE PCHOLD FORMAT PDF
ON TABLE SET PAGE-NUM OFF
ON TABLE NOTOTAL
ON TABLE PCHOLD FORMAT PDF
ON TABLE SET HTMLCSS ON
ON TABLE SET STYLE *
     UNITS=IN,
     SQUEEZE=ON,
     ORIENTATION=PORTRAIT,
$
TYPE=REPORT,
     GRID=OFF,
     FONT='ARIAL',
     SIZE=9,
$
ENDSTYLE
END
-ENDFEX
-EXIT

Run the first fex and click on any sales with value greater than 0 and it will report on it. If you click on the 0 sales you should get the No Data message on PDF.

Is this what you need?

Silly question, but why do you not make it a conditional drilldown?
That way there is never going to an issue.

TABLE FILE CAR
SUM
DEALER_COST
BY COUNTRY
ON TABLE PCHOLD FORMAT HTML
ON TABLE SET STYLE *
TYPE=DATA,COLUMN=COUNTRY,
TARGET='_blank',
FOCEXEC=carinst(COUNTRY=N1),WHEN= DEALER_COST GT 10000,
$
ENDSTYLE
END

I fixed the problem. The problem wasn't the format or how I was calling the &Line. The problem was that I wasn't using a where statement to specify my region.
Thanks everyone.