Mailbox > Unread Public Replies
A lot of people don't realize what this is until much later on. This is one of the coolest features on the site. If you are like me, you post on a lot of boards. This feature allows you to be instantly notified, no matter where you are on the site, of a reply to one of your messages. You can click on the Mailbox, then view the replies to your public messages in this section.
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Starting out with some basic newbie stuff. I'll get into the more advanced features, later.