Click the Edit button.
Click Delete.

This message will come up in a grey area underneath the message:

To delete this message, check the appropriate option below and then click the 'Delete this Message' button.
Note: deleting this message will result in the deletion of the entire thread because this is the first post in the thread.

Underneath that area Delete Options.

Select Delete Message.

In the bottom right corner of the grey area is a button that says, Delete This Message. Click that and it's gone.