To apply filter to the messages go to Home > Inbox & Approval. Here you will find a list of messages which you can view or take action against it accordingly. Ideally you can do the following:

1. Approver or User can apply the filter and view the messages based on Already Read or Under Process or can Group by Document.
2. Approver can apply the filter 'Message Type' and view specific types, for example Comment, Alert, Workflow or Reminder
3. Approver can apply the filter 'Document Category' and view specific document, for example 'Timesheet'
4. Messages can be filtered based on week, Last week, month wise or year wise