That's not stupid!
It took me awhile to figure it out too.
Go to user CP.
Click on messages.
Go through and checkmark the boxes of the PM's you want to delete.
Go to the bottom at the bar thing.
And it'll say messages: Move to folder or something.
click on the arrow and go down to delete.
Click that then press the go button beside it. :]
Need anymore help tell me. Or if you still can't figure it out.