If you have only a couple (5) dont worry about this.
BUT if you have more its time to clear them up
We maybe moving the Board and to decrease the file transfer of the Data base it will help to keep it from fragmenting.
To save your PM messages open the PM and goto the top of your browser (IE)
Click on the "File" pull down menu and click on
"Save As"
If you dont need any of your messages simply do a select all and delete.
Thanks