All of the above suggestions are good, check all the different folders (inbox, sent, message tracking) and change the "show messages from" to "the beginning".
Bob, are you using the back button when browsing around? If so that's your problem. What happens is let's say you are on the main forums page and it tells you that you have a new PM. then you go into a forum, then click on back to go back to the main page. When you do that you are loading that page from your cache and not from the server, it will again tell you that you have a new PM at that point. To make that go away all you need to do is hit refresh on the main screen after you've checked your message, then it won't come up again.