Which OS? NT5.x does this by default if Fast User Switching (FUS) is
enabled. If it's not, or if the OS is before NT5, it can't be done.
If you have NT5 and FUS enabled and unread messages are not shown on the
logon screen, check this registry value:
HKCU\Software\Microsoft\Windows\CurrentVersion\UnreadMail\MessageExpiryDays
and make sure it's not 0 (DWORD), or use TweakUI
(<http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx>)
to enable it.