Above your user name at the top right of the screen and just to the right of the word "CONTENT" should be an icon of a 5-pointed star in a circle, right click and then select open in new tab to see your notifications with the new ones highlighted (by a green bar on the left IIRC).
(If you access the notifications page in some other way the new ones don't show as highlighted)

Note that comments and othre notifications are combined in the 'you have X' notice, but are in different lists.

Your notifications are in a menu on the top right corner of the screen. From there, you can go your notification settings to change which ones you get, and how you get them.