If you're referring to a PM, go to the page that lists your inbox messages. There is a little check box at the far right of the title line for each PM. Click on that box to put a check mark in it (and any others you want to delete at the same time) then go down the window to the end of the PM listing. In the blue bar, there is a Selected Messages window that says Move to folder... Click on the down arrow to expose the drop down menu then click on the option you want - Delete - then click on Go. All the PMs you checked off will be gone.
"If you want to make an apple pie from scratch, you must first create the universe." -Carl Sagan