It would be just as simple as
var messages = context.ImportantMessages.Where(x => x.ImportantMessageUsers.Count() == 0);
EDIT
I think I have understood the problem well, you have to get all messages from ImportantMessages table without any row in ImportantMessageUsers table, which is connected with a foreign key ImportantMessagesUsers.imuImpID = ImportantMessages.impID.
Please check if you have a foreign key between these tables and then delete these tables from Linq context designer and add them again - the foreign key should be visible between them thus creating such properties as ImportantMessages.ImportantMessageUsers which is as IEnumerable of type ImportantMessageUser allowing to use expressions like x.ImportantMessageUsers.Count() == 0.
EDIT2
When user Id must be filtered, this lambda expression should do the trick:
var messages = context.ImportantMessages.Where(x => x.ImportantMessageUsers.Where(y => y.imuUserID == 6).Count() == 0);
Using lambda over LINQ notation is only a matter of preference, yet when multiple joins aren't required, lambda is generally more intuitive to use.