Just in case you don't know how to delete messages.
When you go to private messages, go a couple of lines down from where it says empty folder and there is a drop down box that you can choose what category to look at. Go down the list and click on the box to the right of the ones you don't want. Go all the way to the bottom. There's another drop down box to decide what to do with those that are checked. Scroll down and Click on Delete and then click GO which is right next to it to the right. Be aware that all checks you have put by messages will go away. It will give you a count of how many you are deleting.