If you wish to delete several PMs, just open your inbox or saved messages. Mark the tick box behind the PMs you want deleted.
Below the list of messages, on the right side, there is a drop box saying "Mark/unmark as important". Click it and choose "delete marked".
Press "Go" and confirm when asked if you want to delete the messages.
If it's just one PM it's easier to just open it and click on the blue x in the right lower corner, and confirm when asked if you're sure you wanna delete.
