Can't put New Messages button in Nav Bar

I've created and added buttons for my navigation bar and disabled the text links. The buttons are all working well, except the "You Have * New Messages" On the control panel when I insert the urls for two images in the boxes and hit save, I get a "You must to provide a menu name" error popup message. There is a menu name there but it's greyed out, so I can't proceed.

You can see the buttons and the lonely little mail icon here http://ibonsaiclub.forumotion.com/portal.htm

Change it via
Display>Pics Management
Advanced mode
Change the new pm image there.

Brilliant, thanks Sanket.

Brilliant, thanks Sanket it worked.