Its happened a couple of times now when I am typing a reply a notice comes up telling me I have a message. Where how and how do I read it. sorry to be thick. :-[
I wonder if it's telling you that another reply has been posted on the thread since you started typing. That happens to me sometimes.
If you have private messages, that will show at the top of the screen I believe.
At the top of the screen you will have some text like this,
Hey, Admin aka Dan, you have 775 messages, 0 are new.
Click on the x messages text and you will be taken to your personal messages (like a site email system - it means you can send message to other members without divulging your email address to them).
Cheers
Dan