New mail messages have the CNM file extension and are in the new mail directory.  If you cannot delete it then maybe it's marked read-only.  Select the message in the folder listing and right click to select properties.  You can delete the read-only property if set.  If it was not set then try to delete the CNM file from the new mail directory with Windows Explorer.  If it still cannot be deleted the I suspect the file is being held open by another program.

 If you cannot even fine the CNM file in the new mail directory I suspect that you have an anti-virus program deleting the message and what you have in the listing is a ghost message, i.e. listed in the folder listing but the file deleted.
 

I have a message in my inbox that I cannot delete.  I tried to close Pegasus and use Windows explorer to delete 0 bit files with *.pmo, pmw and pmx extensions and that appeared to work, but when I checked for new mail,  the undeletable file reappeared  and also seems to have copied itself in a duplicate of a real message I received and now cannot delete. If I try to move the message, Pegasus crashes.

The file in Pagasus is called u (with a tilde or umlaut)v.

 In my c:\pmail\mail\ directory, I have a 1 bit file rbap2lhl.pmo that I cannot delete through Windows Explorer (source file in use).

 Any suggestions?