How to show Android Studio's Messages Window?

When I build a project and there are errors, the Messages window that shows all the errors does not always show. I have to build the project (i.e. Ctrl + F9 ) twice or more in order to see the window.

When the window is not shown, View > Tool > Messages Alt + 0 is grayed out as shown by the following screenshot. How can I show the window when there are build errors?

I am running the latest Android Studio on Windows 8.

[Edit] 2018-04-02

Android Studio 3.1 seems to have this window removed, many people may come here because of missing the Messages Window due to a different reason, and yuval's answer may be the right one in this case.

I got here after upgrading to Android Studio 3.1, in which they removed the Messages window, replacing it with the Build window. After some poking around, I found this button on the left side of the Build window:

Clicking this button toggles the view between the new "Build" view and the old "Messages" view.

I hope this helps someone who has the same problem!

UPDATE: per suggestions in the comments, since this doesn't really answer the asked question, I opened it up as its own question: https://stackoverflow.com/questions/49616379

UPDATE 2: In Android Studio 3.3 the button now looks like this:

UPDATE 3: In Android Studio 3.6 the button is gone. Instead, the build window is permanently split between text output and visual output. If you can't find the text output, it might be fully collapsed, so look on the top right of the build window for something like this:

And try to drag it left to reveal the build window, like this:

Hope this helps!

It was a bit different in my case. I just closed the Message Tool Window with this red cross on the left and then this window completely disappeared and would not show again even after several rebuilds, View > Tool > Messages Alt+0 was also grayed out. The only thing that helped to bring the Window back is to break the build, so it would be some compiler errors. After that the window has reappeared showing those errors. Now the window is still there, does not vanish. Hope this helps somebody.

Just to have the whole picture. Go to the Build and then on the left side of the window you will find your Messages icon.

Build -> Make Project (Ctrl+F9)

Worked for me.

Can't find the button @yuval provided, but here it is to toggle to show it