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To delete a private message, follow these steps:
1. Choose your inbox or sent. In this example (below), we know we are in our inbox because it underlined in green.
2. Click into the title of the message.
3. Click Delete Button.
It would probably help a lot if the links were clearly shown as links. It's not obvious that the subject of the message is clickable if you don't happen to move the mouse right over it. Maybe underline it, make it bold, or do something else to indicate that it's actually a link.