Where does it show you have a new message? Is there some kind of message alert?
Mackenna
On the left of your name, on the top right of every window, is an envelope. If you have messages, a red number of messages should show there. If you want an email notification and are not getting them, go to the drop down menu next to your name and select account settings. Then, on the right side of the window, select Notification settings. Read the Notification options and select those you want. Click the Save button.