My status reads i have an unread message...I've been looking, but can't figure out how to get to it...I did do it a week or so ago...I thought is was right near the top of the window...today I don't see it.
Also when you're in "user cp (control panel)", you can set your private messaging to pop up a box when you receive a private message. Pretty handy so you don't have to keep looking at your email or the bottom of the screen.