I tell my DD that no baby has come, that you just can't wish for them and they arrive- that some people wish and hope and a baby doesn't come. She was a bit sad about it, but felt better when I explained that it didn't mean we stopped hoping. If we intended for her to be an only child I would also tell her that. She seemed to like being 'included' in the family 'hope' and discussion. I told her this when she was 5. She still asks sometimes so we talk about it again. It was hard when her friend's mum got a surprise number 3 as she asked again, but mostly to reiterate that we still 'hoped' one would come. I told her she would be the first to know if one was coming.