Start by using GROUP BY to get you the number of people who are managed by the same person:
SELECT Mgr, COUNT(mgr) As [Count] FROM emp
GROUP BY Mgr
HAVING COUNT(Mgr) = 1
You can then use JOIN to get the manager details:
SELECT * FROM emp e
JOIN (SELECT mgr, COUNT(mgr) As [Count] FROM emp
GROUP BY Mgr
HAVING COUNT(Mgr) = 1) c
ON e.EmpNo = c.Mgr