I know what you mean, Sheilabub, it's very annoying and confusing. It's a recent change on the site - we used to get an email notification every time something came into our inboxes, so if you got 12 messages, you got 12 emails. but now, you only get an email notification after a certain period of time - quite often I get a notification, go and have a look, and there's only the message I've already seen (because I checked my inbox) - the notification has arrived much later than the message in my inbox. It's entirely possible to miss PMs altogether now, which is why I frequently check the inbox and don't wait for the notifications.
We also used to have the number of messages in our inbox displayed, but that's a feature that's been removed too - it was very helpful, cos you'd notice that maybe you had 1060 and now you'd got 1063, which made you check your inbox.

I stopped the notifications as there were too many and I find I just prefer to check my in box and the last comment boxes. I agree with Bamboo the number of messages in our in box I too found the most useful and was sorry to see it go.

It took me awhile to work out how the inbox was to be used but as others say it's easiest just to click on your inbox to check for any pm's and the last comments box.

I reply to a lot of posts and often get a shock when I check the comments to see how many have responded....great to read them all and glean information though!