While you can use the Unread attribute in the Focus Pane, should you wish to create a saved search for your unread message, you can create a Smart Folder.

• Go to the File > New > Smart Folder
• Give your folder a name, like "Unread Mail", and then configure your criteria to read "Status -- isn't -- Read"

You can also specify which folders you want to pull mail from, and also the location of your Smart Folder.