Microsoft Knowledge Base Article 304148 contains the following summary:
The Welcome screen is displayed by default on Windows XP Home Edition-based computers and on Windows XP Professional-based computers that are not members of a domain. Under your name on the Welcome screen, there is a hyperlink that indicates the number of unread e-mail messages. If you click this link, it reveals which account the messages are from, and how many each e-mail provider contains. For example, if you have three unread e-mail messages, and you click the hyperlink under your name, you see the following information (where UserID is your user name for the corresponding e-mail account):
The hyperlink is displayed only if you have an e-mail client that is capable of updating the Welcome screen running on your computer. Currently, there are only two programs that support this feature: Microsoft Outlook Express and Microsoft Windows Messenger.