When you receive a New Message (or Messages), you'll see a number in your header section in orange. This number represents how many unread messages you have.
Unread Messages Count
Desktop View
Mobile View (if logged into a Mobile device)
Navigating to the Messages page
On Desktop, you can click the Messages link, to be navigated to the Messages page.
On Mobile, you will click the menu button, then click New Messages.
You'll then be navigated to the Messages page.