What is the chance an embryo will start to form? Anyone experience a "false" pregnancy?

Ok so i missed my period for 2 months and all of my tests came up negative. So my doctor sent me for an ultrasound just to be sure. I had the ultrasounds done 2 weeks ago. When she did the tummy ultrasound she could not find anything, so we decided to do the l ultrasound. During the l ultrasound she did find something. She said legally since the ultrasound techs are only allowed to say so much she could not say i was pregnant. But she said if there was a positive pregnancy test then what she showed me would be the gestational sac. But the problem was it was empty. On the follow up papers it said it measured about 5-6 weeks with no sign of an embryo growing in it. My doctor said that there is a chance that an embryo will start growing in it, but theres also a chance that it wont. And if it doesnt then i have to go and get the sac removed. I am going for another ultrasound in a week to check up on things to see which way it goes. What im asking is how common are these "false pregnancies" and whats the chance that nothing will form in the gestational sac? Anyone experience this? Im also suffering from all the horrible symptoms of early pregnancy and do not want to do this again all for nothing! Any advice? Thanks everyone =]