This is a rush transcript from "On the Record ," June 14, 2007. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, HOST: Tonight, the hunt for missing honor student Stepha Henry continues. As you might imagine, Stepha's parents are frantic to find their 22-year-old recent college graduate daughter. We've been following this one closely.

Here's what we know. Just after graduating college in May, Stepha went to Florida for an annual Memorial Day trip. She traveled there with her 16-year-old sister, and she was staying with an aunt. On the last night of her visit, she went to Peppers nightclub in Fort Lauderdale, and then Stepha vanished.

Stepha Henry's parents are in Miami tonight. Sylvia and Steve Henry join us. Welcome to both of you. And first of all, let me go to you, Sylvia. Let me just say right from the get-go, is there anything we can do to help except publicize the search for your daughter, which we're trying to do?

SYLVIA HENRY, MISSING WOMAN'S MOTHER: I just want to thank you, yes, for doing all the media coverage, and please continue to do the media coverage for me. And I think that this will do a lot to help me find my daughter in Miami.

VAN SUSTEREN: Steve is there any update in the hunt for or search for your daughter?

STEVE HENRY, MISSING WOMAN'S FATHER: Not at this time. There's no updates.

VAN SUSTEREN: What is it that you know, Steve? I mean, we understand that she got picked up about 1 a.m. and going off to go to a club, and that was the last she was seen, or at least by a family member.

STEVE HENRY: Yes, that was the last time we heard of her.

VAN SUSTEREN: Now, when was graduation? When did she graduate from college?

STEVE HENRY: Last year, June.

VAN SUSTEREN: And what were her plans?

STEVE HENRY: Her plan was to be a lawyer.

VAN SUSTEREN: Sylvia, she went to the club with someone who's been described as an acquaintance. Have you had a chance to talk to that person?

SYLVIA HENRY: No, I haven't been able to speak to the person because I don't know the person that she went there with. She obviously knew the person, but I don't.

VAN SUSTEREN: Sylvia, are the police helping you, giving you all the information you need? Because sometimes the police need to hold back some information. But are you satisfied they're doing what they can?

SYLVIA HENRY: Yes, the police are doing a great job. They have a lot of people out there working around the clock. A team of detectives is working. And every day, they call me and let me know that they are diligently working out there and their prayers are with me, and they're supporting me all the way until I find my daughter.

VAN SUSTEREN: Steve, I read that the acquaintance that she went to the club with left the club ahead of her, left before she left. Is that what you've been told?

STEVE HENRY: Yes, that's what I was told by the police.

VAN SUSTEREN: Have the police told you why he would have driven your daughter to the club and then left early, left her behind?

STEVE HENRY: No, they didn't give me any explanation about that.

VAN SUSTEREN: But did he say how he thought she was going to get home?

STEVE HENRY: No.

VAN SUSTEREN: Didn't mention anything?

STEVE HENRY: No, they never mentioned anything.

VAN SUSTEREN: Sylvia, what do you think has happened?

SYLVIA HENRY: I think that she's being held against her will somewhere out there. And I pray God that someone have mercy on her and let her go, because she's a bright girl. She's very intelligent. She has all of her plans and career goals set, and she's about to accomplish them.

VAN SUSTEREN: And we certainly hope that publicizing -- we've been running this story for several nights, putting her picture up. If anyone knows anything -- take a good look at this young woman. If you know anything, call the police right away. Sylvia and Steve, thank you and good luck.

SYLVIA HENRY: Thank you very much.

STEVE HENRY: Thank you very much.

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