When you click that text on the login page, it'll show you which account the emails are in. This might help you figure out where they are
As far as I know, it just gets that information from lots of places: MSN Messenger's Hotmail notifications seem to show there, but emails from Outlook and Outlook Express as well...
To disable it, download TweakUI and adjust the setting in Logon > Unread Mail.
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