There are two unresolved but closed threads asking this question, I have now solved it but can not link to the closed threads - so this is a new one with the answer.
You need to create a custom search, save it and assign a shortcut key:
- Within the message list, click the blackberry key
- Select search
- Within the "show" field, select "Unopened only".
- Click blackberry button, select Save
- Enter meaningful title, like "Unread"
- Select a shortcut key, like 'u'
- Blackberry key, and save.
Job done. Within the message box, you can now hit alt-u to "filter" by all unread messages (i.e. you are acatually running a search, but the result is the same). Read messages will dissappear off the list next time you run the search. To exit the view, click the back button.