Hi Tonya,
Well, the text in that field is HTML escaped, so that won’t work. But there is a different way, by results templating. If you read up on that knowledge base, it will explain some basic details.
Basically, you need to make a directory in your theme/child theme directory called asp. Then copy over the no-results.php file from the wp-content/plugins/ajax-search-pro/includes/views/results/ directory. Then making changes directly to this file is the key, as this is included when printing the ‘no results’ text. You can add the link or any custom HTML code in there.