Usually, and IIRC, services such as one drive, google drive, picasa... will direct you to an empty page, with a clear message stating that the folder/collection/tag/array does not contain any element.
If your application offers it, you would also have a strong emphasis on the action of adding items to this collection, using the easiest method available for your platform (drag n drop, import buttons, take new picture button...)
Doing nothing is the worst thing you can do, because if you have a button, and you can click on it, and sometimes it displays stuff, sometimes it does nothing, it will appear broken.
A warning popup can also be a bad idea in some case, as it suggests either an issue with the application itself, or an error from the user (which you should avoid suggesting as much as possible) that the application cannot gracefully handle.