I have gone all through my e-mails and marked them all as open, but the icon on the upper left of the screen says I still have one unopened message. I am sure all the messages have been opened because the "mark as open" selection has been removed from the menu. Is there a hidden message somewhere?

Check in the saved messages folder. Also make sure that all missed calls, text messages, AIM messages(if equiped) etc. are viewed.

I am betting it's going to be in the SAVED MESSAGES folder. Usually happens if you start to reply to a message and cancel without discarding the changes. It's happened to me a number of times.

Wirelessly posted (BlackBerry7520/4.0.0 Profile/MIDP-2.0 Configuration/CLDC-1.1 UP.Browser/5.0.3.3 UP.Link/5.1.2.12)

If you have the BB7520 from Nextel, when someone alerts you with a direct connect call it shows up as a message. It's really stupid I know, and I can't figure out what to do. Maybe someone else can chime in? In any event, I just end up deleting my DC Alerts.

Wirelessly posted (BlackBerry7520/4.0.0 Profile/MIDP-2.0 Configuration/CLDC-1.1 UP.Browser/5.0.3.3 UP.Link/5.1.2.12)

If you have the BB7520 from Nextel, when someone alerts you with a direct connect call it shows up as a message. It's really stupid I know, and I can't figure out what to do. Maybe someone else can chime in? In any event, I just end up deleting my DC Alerts.

Thanks for the suggestions, but the saved message folder is empty. I have gone through all the folders one by one with no luck - I still show one message.

it means you have your logging set to show all phone calls. you can change that to not show in the phone options/call logging. it will still save it, it just wont show in the message list. you can view it by hitting alt+d (nextels only).

Have you tried a reset? Or checking missed calls?
And have you received and read any new messages while working on this problem?

Go to every folder on the phone and check. Also make sure all the message services you have are cleared.Maybe you should check the calendar and alarm clock too.