I'm not clear if you are talking about a counter that won't go to zero, or a message that won't delete.
If the counter, see How do I reset my message counter to clear, or zero? - BlackBerryFAQ
If a message that won't delete, try a battery pull and see if the message is still there afterward, or try again to delete if it is still there. If that doesn't do it, scroll up to the next date field in the message list, open the menu, and select delete prior. That should do it, though you will lose all prior messages. But if it doesn't work, you probably are looking at clearing the messages database using desktop manager. Do a backup beforehand if you go that far. Posted via BlackBerryForums.com Mobile