Is there any (relatively painless) way that the "You have a new message" indicator, at the top of the pages, could be a contrasting color? Something other than tan on white? I find that I only notice it when I specifically remember to look at it, as it rarely catches my attention otherwise.
Or, at worst, put it in annoying "ALL CAPS", to achieve the same?
What I do is have the forums email me when I have a new private message. To set this up, go to "Profile" at the top of the page, then about half way down the radio buttons in the "Preferences" section select "Yes" for Notify on new Private Message"
There's also an option there for "Pop up window on new Private Message" that just opens a big warning window when you log in to the forums. THAT's impossible to miss!