Usually you get messages from the system that are stored in /var/mail. Open a terminal session and type:
to see a list of files in that directory. Note the name of the most recent file and type cat "filename" to read it.
Usually, the messages aren't of earth-shattering import, but it's nice to know they're there and that you get a notice every time there are new ones.
Next post: OpenArena (game).