To delete a message select the message(s) you wish to delete and click the delete icon or alternatively right click on the selected message and use delete message option.
Imap Settings For Deleting Messages
To configure your options for deleting messages simply
go into tools and then account settings.
This will open your account settings window, on the left hand pane
select server settings. The right hand pane will
provide options for when you delete a message. It is recommended to
have your deleted messages moved to your deleted messages folder and
ensure you have a check in 'clean up (expunge) Inbox on exit '
and 'empty deleted folder on exit'.