There are a couple of possibilities. First, look at the Tools->Other Windows->Messages command. If the background of the icon has a highlighted square it means that FEMAP thinks the window is open. If the icon isn't highlighted then the window isn't open. If that is the case, click the command again to open it. Look at the command again, it should now be highlighted.
Once the command is highlighted, assuming you still don't see the window there are only two real possibilities. Either it is tabbed, or it is off screen. Look around the edge of your FEMAP window for a small tab that says "Messages"... if you find it, click it to open the window. Once it is open, you click the push-pin in its title bar to keep it open. If you can't find it, close or hide other applications and reduce FEMAP so that it isn't full screen. Look around the edges of your screen for some small piece of a title bar. If you find that drag it back onto FEMAP and dock it where you want it.
If none of that works, you can resort to going to File->Preferences, choose the User Interface tab and press "Reset User Interface". Answer Yes to the question and exit FEMAP. When you restart FEMAP the Message Window should be back in its default location.