You should have a messages folder on your home screen or in your app screen. If not in the screen hit menu and show all if you might have hidden the folder. Messages will show text and emails, unless you have select separate folders
Press the menu button after receiving a message. Then look for an icon with a red circle with a white star in it on one of the icons. thats the folder. if you dont see it, check inside your other folders and also press the menu again, and make sure that "show all" is checked and see if it appears then!