Go to User CP, left side of the screen it sais private messages and list messages. Towards the complete right of every PM you have, check every box of the pm you want to delete. Go down to where it sais selected messages and next to it there should be a drop down menu that sais move to folder. Click that go to delete and click go. Repeat the same steps for the drop down menu under the bar that on your screen should look completely red. (with the sent messages, rather than the inbox messages.)