There is one actually. Do you allow popups? Both FireFox and IE have popup blockers now sothis may be why your not getting the notification.

Also we had incorporated a flashing Messages button in the mini-menu on the header. Hold your mouse over it and it'll tell you how many new messages you have. I have noticed it missing myself and will be makiing sure it is put into the 2nd version of the site (as I was the one pushing for the graphics and to get it put in originally).

Besides programming a little gremlin to jump out that shout out at you, I cannot think of any other 'nice' way to inform the users that they do indeed have a new private message.