Another stupid question

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It's taking a little while to find my way round but I am getting there. However, can anyone tell me if there is a way to delete unwanted messages, they just seem to sit there and accumulate? I know I'm probably being stupid, but I'm damned if I can find it. Thanks, and add any other tips you think I might need, being a noobee, you know, those things you struggled with when you first started on here.