I was asked this question over Shavuot and I didn't know either, so I turn to Mi Yodeya. We are told1 that when the moshiach comes Eliyahu HaNavi will announce him; the implication is that this is when he first arrives, not after he's fulfilled the duties of the job (gather the exiles, rebuild the temple, etc). So how will we know at the beginning, before he's proved himself, that this really is Eliyahu and the moshiach? Anybody could claim to be -- wouldn't be our first false claimants, after all. So when somebody arrives and says he's the moshiach and we should immediately follow him to Eretz Yisrael, how will we know that we really should? Will Eliyahu do something unambiguous to establish his identity, perhaps?
1 Both of us have often heard that Eliyahu will herald the moshiach, and I have the impression that this is what we're hoping for when we sing Eliyahu HaNavi after havdalah each week -- let him show up right now with this news. This question and Scimonster in a comment point to Malachi 3:23. (According to the linked question, the Rambam disagrees with Eliyahu as herald. So I'm asking according to people other than the Rambam.)