click on you envelope icon. go to show all messages.
in middle of each PM is a tiny little box and select which messages you want.. at bottom of page a tab will show up.
will say CHOOSE ACTION
select leave message
hit the go button next to it
it will then give you 2 options to pick. either ignore it to never see it again or the first option is if someone ever replies back to that message it will still show your old messages you guys exchanged in the past