Usually when I log onto MSN if I have new e-mail it will say "Two new e-mails" (or something of that sort) in place of "No New Messages." Or, of course, the pop-up message thing comes up if I recieve mail while logged in...
However, lately it has not been doing this. It always says "No New Messages" even if I know that there are new messages. At first I thought that maybe it was just that the server hadn't checked my e-mail yet, so I waited about ten minutes, but it continued to say "No New Messages."
What Messenger version are you using? It happens to me from time to time...
Do you have the Plus POP e-mail check feature enabled? (Plus! > Preferences > POP3 Email).