First, you can open each message individually. Scroll down and near the bottom left you will see a 'delete this message' box. You have to click on the little box on the left and the, right below it, click on the 'delete this message' button. See below.
The other way to do it is from the main PM screen. Click the empty box to the right of the PM. All the way down at the bottom right there is a dropdown that says 'Selected messages.' Click on that and several options will show up. Click on the 'Delete' one and it'll take care of it for you. This is a way to delete multiple PMs at once.
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