Help! Message icon not removed...

I'm having trouble with my Samsung Galaxy S... I think I have deleted a new message accidentally. After that, the message alert icon on the top left most corner of the screen stays there. It's quitre annoying because I always thought that I have a new message even if I really don't. The icon can be removed after pressing the "clear" button in the notifications but goes back after some time. This happened to me before and I ended up resetting my phone just to remove the icon.

Does anyone know how to remove that icon there without me having to restore phone factory settings? Please help.