When you have applicants you haven't viewed yet or unread messages, you'll see a green 'need attention' notification next to the job on your main dashboard.
This will create a 'Need attention' filter on the left inside your job ad.
Now you will only be viewing the applicants who are labeled 'New' and those who sent you messages. The red circle to the right of their name indicates an unread message.
Click their name and you will be able to view their newest message inside the window that pops up!