Is there a way to show that a user has new messages via a module or something like that on a page/pane outside of the forums?

Thanks Matthias, I got it to work with the Report module.

I created a module that shows on all pages with no displaying container and the code looks like this - Glad I could get this to work:

declare @cnt  int
,@str varchar(2000)

set @cnt = 0
set @str = ''
DECLARE @tcnt TABLE
(acnt int)

insert into @tcnt exec Forum_PM_GetUserNewMessageCount @UserID,@PortalID
select @cnt=acnt from @tcnt
IF @cnt > 0 
BEGIN
  select @str='<b>You have <a href="http://xxxxxxxxxxx.org/dnn/MembersOnly/Forums/tabid/58/ctl/PMInbox/mid/381/Default.aspx">'
  select @str= @str + convert(varchar(4),@cnt) +  ' New '
  IF @cnt >1
    select @str=@str+'Messages.</b></a>'
  else
  select @str=@str+'Message.</b></a>'
END
select @str