You can search for a message or conversation. To do this, go to the list of your messages by clicking on the mail icone on the right-side of the header of your admin area.
Next, use the search engine present at the top left of the screen: type a word or phrase contained in the subject, the sender's name or message content you are looking for. Click on the magnifying glass to start the search.
The page will display all conversations corresponding to your search.