It's probably just a glitch, I have a mac os x right now as well. Perhaps it's thinking of an old message you haven't opened and read yet? Try finding it and click it and see if it goes away, if that's not it then I have no idea.
Go under your settings (or I think now it's like, More Options) and go under either messages or alerts and uncheck the box that says to notify you when you get a new message. I'm not sure how the new messanger works as I don't use it anymore. But it should be under your settings or options somewhere. Just play around with it.
If you've still got the problem. - I dono if it's the same for your computer, as it is with Vista. But if I click on the volume thingy, I get up the volume mixer, and I can mute some things, and keep the sound on others.