Deleting PMs

For some reason I can't delete my PMs. My box is full and im trying to free up some space but for some reason its not working :confused:

select the ones you want to delete, then go to the drop down menu on the bottom (Move to, I think) and pick delete

Thanks..the way i was doing it was by checking the box delete this message after clicking on the PM. I guess that way doesnt work.