You got a private note I beat. It lets you know in apopup window. Check the little mail icon over on the right there under ‘logout’. If that's lit up, then there's your answer.

Yeah, that is what I'm thinking as well.

I didn't think those operated as pop-ups though- they're a windows notification and not a proper browser popup. Although maybe some blockers can be configured to block a notification if it's sent from the browser.

Any time i've had a popup blocker working, it always blocked mail notification from any sort of forum, be it phpbb or anything else i've used.
So that's really likely what it was.