If you look at the page with the private messages on at the bottom there is a drop down menu. Its on the right. You have to select messages first or "mark" messages as its called by adding a check in the box or you can select "mark all" to select all messages on the page. Once selected go to drop down menu. If still not clear, let me know and i will take a screen shot.
Thanks for the help with this. Have a good evening
Jerry