Select Tools → Read Messages from the drop-down menu on the Back-end of your Joomla! installation.
The Private Messaging screen allows you to send messages to other Back-end Joomla! users. You can read, write, send, and delete messages here.
At the top right you will see the toolbar:
Filter by Partial Title
You can filter the list of messages by typing part of the subject, or you can select read or unread messages.
Filter by Read or Unread State
In the upper right area, above the column headings, is a drop-down list box as shown below: