You can start with /includes/modules/pages/product_info/main_template_vars.php. Search for the string "PRODUCTS_IMAGE_NO_IMAGE" and set a true/false flag in that code block based on whether or not the main product image exists. Make a copy first, since this is a core file override.
Now edit/create /includes/templates/YOUR_TEMPLATE/templates/tpl_modules_main_product_image.php (if you're creating it, copy it from the template_default subdirectory). Each place where the code fragment
Code:
<span class="imgLink">' . TEXT_CLICK_TO_ENLARGE . '</span>
exists, only output that code when your true/false flag indicates that the image file was found.