The error you are getting suggests that you should be checking whether the SELECT statement returns anything before you try to use it (in your msgbox)....

Been a while since I coded anything using ADO (or vbscript) but I think that there is an EOF method. Try the following:

dim OConn,fso,f1,txt,recordline

dim rscategory

Const ForReading=1

set OConn = CreateObject("ADODB.Connection")

conn_string="Provider=SQLOLEDB.1;Integrated Security=SSPI;Persist Security Info=False;Initial Catalog=Northwind;Data Source=DATAMARTSQL;Application Name=Pruebas"

OConn.Open= conn_string

set fso = CreateObject("Scripting.FilesystemObject")

set f1 = fso.GetFolder( "\\bogccswbavaria\Documentos\Pablo")

set txt = fso.OpenTextFile("\\bogccswbavaria\Documentos\Pablo\lista.txt",ForReading)

do until txt.AtEndofStream

recordline=txt.Readline

Set rsCategory= OConn.Execute("Select * from archivos_pruebas where nombre_archivo like '%"&recordline&"'")

IF rsCategory.EOF Then

MsgBox ("No record found")

Else

MsgBox rsCategory.GetString

End if

loop

txt.close

set fso=Nothing

OConn.Close

set OConn=Nothing

Set rsCategory= Nothing

Main = DTSTaskExecResult_Success