How do I find my discord message?

I am new to discord. It says I have a new message, and I can't find it. Thanks!

A lot depends on how you have set up in Notifications what, if any, messages you get (Click on the cog icon next to your name bottom left to get to notifications). If you haven't limited notifications then you might get notified of every message in every channel, so it could be hard to figure out just which one it is. If you limit notifications just to specific channels or mentions of your username then a red dot will appear against the channel name. You might also get notified of new friends requests or DMs; again a red dot will appear against DMs on the left hand side.

It's possible that the message you got was a spam message and that user has been banned and their message has been deleted.

thanks