Commander Dimal

In the north-east corner of your screen it will show a little box that should look like this:

Commander Dimal

You last visited: Yesterday, 06:20 PM (or whenever it was)

You have 1 unread message (or however many you got)

then, click on the 1 unread message button. It'll show a list: public message, private message, friend invite, etc. Whatever option has a 1 or higher next to it means you have a new message in that category. In your case, click on the private message option.