Originally Posted by jsconyers
If you highlight the date above it and press the menu key then select delete prior, does it delete?
If not, then you have a corrupt messages database. The only way to correct this would be to clear the messages database. Doing so will clear all messages, not just that one.
To clear the messages database:
Connect your device to your PC.
Launch Desktop Manager
Highlight Messages from the Device Databases column (on the right side)
Click the Clear button.
Generally, I've found that you can perform a selective backup of the Messages database, clear the Messgaes DB on the handheld, restore the Messages DB from backup and then delete the un-deletable message.
IIRC it's detailed in a document in RIM's Technical Solution Center.