It shows up in your espionage tab, and it can grab ANYTHING in your diplomacy. from any time frame. And i believe it can be a number of messages. Seen more than one before.

Some addition:

Frequency of intercepted messages depends of course on the number of spies used, but is otherwise completely random, especially regarding succession or actuality, and the messages always reaches the recipient or have already reached him, so it will often also be "old news".
Sometimes ther'e only parts of a complete (longer) message as well.

Messages can be spied from both, the sender and the recipient, so be careful yourself about whom and what you send.

To exclude the possibility that own important messages are intercepted, you can better use the CoW mailbox on the log-in page ..
.. and ingame send rather any entertaining messages, like shopping lists, greetings to the mother-in-law, fictitious attack plans, cooking recipes in Klingonish language - or whatever you think that it's useful and joyful for your enemys ..

For coalitions, i use the coalition chat. cant be picked up by spies.

IF everyone did use in-game messaging exclusively though I find that it'd be such an interesting and fun mechanic to have to deal with intelligence and possible codes and code-breaking as a purely organic result of the system.

It would be a great way to keep things lively for the game, but you would have to establish a code breaker somehow without the enemies getting their hands on it. This incites another challenge.

There was a time that, while one was typing a message, the country it was going to would suddenly jump to the last person a message was sent to or the top country in your list. If one didn't make a final check, to whom it was going, the message could be sent to the last person you'd want to have it go to. Great fun! I can't recall how many times I had to write, "That's the message I sent to [name] to see how they would respond. Let me know if they caution you about it."