With the advent of BIS 2.0, the Web Client was removed. There's no way to check it online.
The prompt is a default prompt. When an e-mail is sent directly to your BB, if you delete it, it deletes entirely.
However, if you set up a Gmail account, for instance, and have it forwarded/sent to your Blackberry, the prompt actually means something, as it determines the action taken IN Gmail.
I NEVER recommend using your actual BB e-mail address for anything. Set up a free account that can forward to it, for spam filtering (if you get spam to your actual BB address, you're screwed), and for the reason this thread was started in the first place.
Hope that helps.