This is a rush transcript from "On the Record ," July 30, 2007. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, HOST: She will come home alive. That's what Stepha Henry's mother has been saying since Memorial Day weekend, and is still saying that tonight.

This is a bizarre mystery we are following closely. The 22-year-old aspiring lawyer vanished two months ago in Miami. Stepha was there visiting family over Memorial Day weekend. On the final night of her trip, Stepha went out to a local nightclub called Peppers with a male acquaintance.

This man, who is not a suspect, told police he left the club alone, but Stepha stayed behind. What happened next? Her family and the police don't know, and a desperate hunt is underway to find Stepha.

Her mother, Sylvia Henry, has left her job and home in Brooklyn, New York, and moved to Miami. Sylvia Henry joins us live from Miami. Welcome, Sylvia.

SYLVIA HENRY, STEPHA HENRY'S MOTHER: Thank you.

VAN SUSTEREN: Sylvia, I know you and your husband have been on before, and I guess this is a stupid question, but how are you doing?

HENRY: Well, I am very sad. It's very, very difficult for me to survive each day without Stepha.

VAN SUSTEREN: Is there any update in the search for your daughter?

HENRY: Well, the detectives are still looking for that black car that's missing, that blackAcura Integra that is missing. That is the key evidence that they need for this case.

VAN SUSTEREN: Is that the car that the acquaintance she went to the club with was driving that night?

HENRY: Yes.

VAN SUSTEREN: Have they asked him where the car is?

HENRY: Well, the detectives interviewed him. I don't know what happened after that, because they still didn't find the car. So I don't know what happened during the investigation.

VAN SUSTEREN: Sylvia, one of the things that we find on this show, often adding to the heartache, is you don't get a lot of information from the police, that they are busy with other cases, or they don't call you.

What's your relationship? Are you getting calls returned from the police? Are you getting information as much as they can give you?

HENRY: Well, the detectives tell me as much as they can. Not on a daily basis. Sometimes I call them, or sometimes they call me. Whenever they have leads, they check the leads out. And if it's something that they don't want to tell me to raise my hopes up, they don't tell me.

VAN SUSTEREN: I know your life and your husband's, on top of this heartache, has been turned upside down. Have you completely moved to Miami for the duration of this search?

HENRY: Yes, I am. I came down here on the 31st of May, and I'm still here.

VAN SUSTEREN: How do you do this financially?

HENRY: I got a lot of donations from the people in the community and different businesses. The Caribbean Committee, they are all helping me to survive each day financially.

VAN SUSTEREN: But you and your husband — he has gone back home to work, is that right?

HENRY: Yes. He is back in New York.

VAN SUSTEREN: And you have another daughter?

HENRY: Yes, Shola. She is 16. She is in New York also.

VAN SUSTEREN: How is she doing?

HENRY: She had a lot of sleepless nights. And she calls me at night crying, sometimes at 1:00 or 2:00 in the morning. And I have to be up with her, praying with her, or both of us crying at the same time.

VAN SUSTEREN: Have you have spoken to this male acquaintance that your daughter went off to the nightclub with?

HENRY: No. The detectives didn't give me any information on him, so I haven't spoken to him.

VAN SUSTEREN: Do you believe that he is not a suspect? We are told that he is not a suspect, but are you curious what he knows?

HENRY: Yes, I am very curious. But I have to leave it to the detectives to do the investigation.

VAN SUSTEREN: Do you know how your daughter even knew this guy?

HENRY: It was a friend of her school friend.

VAN SUSTEREN: She had just finished college, but you don't know if she ever knew him before this night?

HENRY: I'm sure she knew him before, yes, because he is a friend of her good school friend from high school.

VAN SUSTEREN: Sylvia, we certainly put your daughter's picture up. And if anyone has any information, I hope they will call the police immediately, because you and I have spoken before, and I know that this is extraordinarily difficult, and you want answers.

Sylvia, thank you, and good luck.

HENRY: Thank you very much, Greta.

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