You can delete it by following these steps:
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Click Messages on the left side of your homepage
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Open the conversation you want to delete a message from
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From the
Actions menu, select Delete Messages...
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Use the checkboxes to select the messages you want to delete
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Click Delete
These steps were taken from the facebook faq located here.
Note that it will not delete the messages from your friend's side, they'd have to delete them as well to get rid of them entirely.
