It's in the registry, sometimes caused by a deletion that isn't picked up by
the system. It can be fixed as follows:
Go to Start and type "regedit" without the quotes in the run box and press
enter. Go to the following key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\UnreadMail
Click the plus sign, go to the e-mail account with which you've had this
issue. Look for message count in the right pane. You'll see an entry as
follows, 0x00000000 followed by a number in parenthesis as in (98), change
the number in parenthesis to zero or whatever the count should be.
If you are not comfortable working with the Registry, TweakUI for XP can do
it as well:
http://www.microsoft.com/windowsxp/pro/downloads/powertoys.asp