Gmail lets you delete either an entire conversation or one message from a conversation. Deleted messages are a lot like the stuff in the trash can in your kitchen: eventually, it's all going in the big dumpster outside, but for a little while, you can still rummage through it if you lost something important. Gmail will empty messages from your Trash automatically after 30 days, or you can permanently delete messages yourself.
Here's how you can get rid of an entire conversation:
Open the message (or select the checkbox next to it).
Click the Delete button to move the message to Trash.
And here's how you'd preserve most of a near-perfect conversation, but forget about a single message:
Open the conversation and find the message in question.
Click the down arrow next to Reply, at the top right of the message pane.
Click Delete this message.
Oh no! I've made a terrible mistake! I want that message back!
It's okay. Just after you delete a message, a yellow bar with an Undo link appears at the top of the page. If you click it, your message will be moved from Trash back to its original location. As long as your change of heart occurs within 30 days of deleting the message, you can also retrieve it from Trash by clicking Trash, selecting the message in question, and clicking Move to Inbox. This won't work if you've already permanently deleted the message, though.
No, really. I don't even like having that message in my Trash. Please take it away.
Once a message is in Trash, Gmail will delete it in 30 days, but you're more than welcome to delete it permanently yourself.
Click Trash along the left side of any Gmail page. (If you don't see Trash along the left side of your Gmail page, click more above Contacts on the left side of the page.)
Check the box next to the message you'd like to permanently delete.
Click Delete Forever. This time, it's really gone forever.