Personally I'd use an IF statement:

IF @LoanNumber IS NULL AND @DealershipName IS NULL

BEGIN

PRINT 'Both @LoanNumber and @DealershipName cannot be Null, a value must be entered for one of them.'

END

IF @LoanNumber IS NOT NULL

BEGIN

<SELECT statement to return dealership info>

END

ELSE IF @DealershipName IS NOT NULL

BEGIN

<SELECT statement to return all the loan numbers for the dealership>

END

-SQLBill