You can delete messages one at a time, or you can delete an entire conversation. To delete a message: 1  Click Messages on the left side of your homepage. 2  Open the conversation you want to delete a message from.3  From the Actions menu, select Delete Messages... 4  Use the checkboxes to select the messages you want to delete.5  Click Delete.ou can delete messages one at a time, or you can delete an entire conversation. To delete a message: 1  Click Messages on the left side of your homepage. 2  Open the conversation you want to delete a message from.