To delete a conversation, click on the action selector in your message listing and select Delete
You can also delete multiple conversations. To do this, check the conversations you want to change and click the grouped action selector at the top of your conversation page and select "Delete"
The relevant conversations are no longer visible in your inbox. You can always find them through the Trash filter in your conversation list.
If you want to put it back in your inbox ("undelete" it) use the "Restore" action.