I have noticed that if you delete a message (email) before it has been downloaded entirely, you will get this extraenous notice. This is problem usually with html email that contains many or detailed graphics. Wait a few minutes before deleting an email and you won't have this problem.
Posted from my CrackBerry at wapforums.crackberry.com
From the home screen hit the BB button. Scroll until you see the folder with the Red asterisk on it. Open that one. That's the one with the message in it. If there is NO folder with a Red asterisk, send yourself an email. Once read/opened that usually clears it up. It's one of those things that pops up every once in awhile. Kind of a ghost in the machine gremlin.
Keep us posted.