In all the guides I'v read, clicking "u" in a message should take you to the next unread message. But when I press "u", it goes to the oldest unread message. I'm using the 4.1 software. I've searched but found nothing. Am I doing something wrong?

Yes this is by design. I just performed a test on my HH and received the same response.

I think "n" would be the next message. "u" has always been oldest unread first and then next unread on the second press. Hope that helps.

I have a 7100i. I use the * key. If I push and hold, it goes to the oldest unread message. After that, each push of the * takes me to the next oldest unread message until I reach the top. It also includes any missed phone calls in the list.