Which file contains the “no result found”

This is not really a file in itself. When your page code runs, lets assume a search in this example, WordPress looks for posts results. It then runs a conditional statement that basically says “if I find posts I’ll display them” if I don’t I’ll display “no results found.”

These are both usually present on the same file page(search.php in this case), but only one will execute.

If you look toward the bottom of most of your template files you’ll most likely see the text you are looking for under some code that looks like this:
<?php else : ?>

404.php in your theme maybe?

Like racer said it’s usually part of the else condition of your if( have_posts() ) …

Beyond that, then the 404.php template for your theme, as RVoodoo said..