When a request has visited the number of nodes specified in its "hops to live" field (similar to "time to live" in other protocols), a "Data Not Found" or DNF message is returned to the requester. This indicates that the data could not be found within the time limit specified by the requester.
Note: especially when first connecting, a lot of RNFs and DNFs (or other error-messages) may occur; it is paramount that you leave your node running for 5-10 minutes, so it can get used to the network. The best thing to do is to hit the 'refresh' button now and then, watch the statusbar augment and wait untill some of the activelinks on the webinterface become visible.