(1) Find the message, or messages your want to delete in your PM box.
(2) Tick the box at the far right of the message(s).
(3) At the bottom of the list select "delete" from the drop down list.
Other useful things to know:
i) you may be saving sent messages too - you can change to sent items at the top
ii) if you want to select all messages on a page you can tick the box in the top right above all the other tick boxes
iii) as well as delete there is an option to download copies of the message(s) to store on your computer if any of them are important