Additional functionality to lost password

I’m running a couple of membership sites and am having a high number of users getting confused re the lost password process. One specific is that there is no visual cue to let the user know whether they are registered in the system – i.e. – they click lost password and arrive on the wp-login.php screen – it asks for their username or email address.

if they enter in the wrong email or the wrong username – the screen refreshes but there is no visual prompt to let the user know that we do not have that email or username in the system.

Is there a way that I can mod the wordpress core functionality to provide this – i.e. – on an unsuccessful data entry – to have a visual prompt that says “We don’t have that entry in our database – please try again or Register here” with a link to the registration page.

Many thanks

Andrew