"New Mail" prompt

I get this New Mail prompt, but when I go to Refresh my Inbox, there is no new mail. Why does this happen?

Subject: “New Mail” prompt

If you have your own personalised location document, then just switch to that by clicking the Location button in the bottom-right-hand corner of the screen and selecting the right one. Otherwise, open the current location document (click the Location button, then click Edit Current…) and make sure:

On the Basics tab, the internet mail address field should contain your e-mail address.

On the Mail tab, the mail file field should contain the path to your mail file on the server, for example, mail\hnanong .

Paul.