When you first open Live, a pop up will appear to tell you that there are unread messages.
If you close this you can return to your messages later.
To return to your messages:
Go to Messaging>Check for messages.
The Status column shows if this is a New message or one you have already read. Double click on the message to view it. You can then reply to or delete the message.
If you wish to view your sent messages, click on the Sent tab.
To view older messages, click on the date range dropdown at the top of the screen.