At the very very top of your screen is a black bar with a few options. On the very right, it will show your name with a 0 beside it, or a different number in red. Those are personal messages, Private member to member messages.
Also a long the top, the easiest thing to do is click the option that says "My Threads". You will be able to see all threads you've created in here. If it has a new message that you haven't viewed, that particular topic will be bolded in comparison to others. This also works under "My Replies" (also a long the top) you can see all threads you've replied to, and see if any new posts have been made since you last visited that thread.