Occassionally you will have an indication that you have an update available and when you click on it, there is nothing there.  This could happen for several reasons including, a message, or friend request was sent to you by another user and before you check the update the user deletes their account (or has their account deleted).

In any case the way to eliminate the Update message is to click the Red "Balloon" by your name indicating you have new updates.  In the New Updates window that pops up, simply click the X next to the item you no longer want to be reminded of.