To come back to the forum, if you Click on "New Messages", it will take you a results page of all unread messages on the forum.
The message Format changes the way the information is laid out on the page. For example, in classic or ubb, there's a column on the left side which contains headings for Message #, Author, Author Info, Date, etc. In dcf format (which is the default) all of this is contained in the header of the message instead.
Hope this helps,
Lisa