To delete the message you are currently viewing, click the "delete" command, which is found in the dark-blue command bars at both the top and bottom of the message.

It is important to realize and understand that when you delete a message it is not really GONE. It has just been moved to another folder--a special folder named "Trash". You can open the Trash folder just like any other folder, and move or copy messages from the Trash to other folders.