That indicates that I have 1 private conversation Click on the envelope and it will show the unread ones in a list. At the bottom left you will see SEE ALL, you can click on that and see all your private conversations. Or on the bottom Right side you will see START NEW CONVERSATION, when clicking that it will open up the screen to put a member name, next box, a title and the big box the conversation.
If you go to your User Control Panel (click on little man icon) you will see Alert Preferences. You can set that to where you could get an email each time you receive a conversation. Or not to get the email.