I would check do you really have these messages.
It might be more civilized way, however I would go:
I do not know what OS X version you are on, however the mail messages location is more or less the same.
from finder menu click Go > Go to folder and type or copy from here ~/Library/Mail/V2/
in this folder you will find all the mail accounts you have. Go to correct one and copy mailbox you want i.e. myImportantMessages.mbox to Desktop , rename it to anything by removing .mbox extention and you will get folder, go into this folder and in finders search field type emlx (this is an extension for email message) choose to search in this folder only and you will see all the messages in it. you may use quick look to see contents of these messages.