Twitter noob needs some help?

[:)]

So I recently started using Twitter, and I was wondering, when someone sends you a message, so for me:

@itsemilyhoward blah blah blah

How do I know I have received it? Because at the moment the only way I know is by clicking on their Twitter and scrolling down to see. Surely there is an easier way?

Thanks - and feel free to follow me (if you want to!)

http://www.twitter.com/itsemilyhoward