The phrase "When I check my messages..." tends to refer to telephone voicemail or text messaging, not email, **in my experience.** So, there would be no files associated with voicemail. I'm not a big text/SMS guy, so I'm not sure if the sentence works in that case.
As Rox implied, most people don't use the word "box" concerning email as it implies "Inbox"(because that's where incoming messages go). So, I mostly hear people saying something like, "When I check my email (or Inbox), the email is already there" IF a specific email **is expected** to be there. Otherwise, people would generally say, "When I check my email (or Inbox), I have messages" or "...I have no messages." You could extend that to say, "When I checked my email, the message included a file attachment." or "When I checked my Inbox, I saw a message with a file attached."
Hope this helps.