checkBoxList.Items.Add("Your message").
That should work in Win Forms.
If you want you can play with Enabled property as well.
Edit:
After reading your comment this what I have to offer:
psedocode:
if dataset has records then
show checkedListBox
else
hide checkedListBox
show label with message.
You'll have to a label to your form for hosting a message.
That is simplest solution for your problem.
I hope this helps.