You would need a general rule set that contains one rule with a logical AND action that identifies the specific message (perhaps on subject content) followed by a delete after x days rule.  This rule set could then be associated with a folder as a folder-open or folder-close filter set.  You want the deletion to be message specific, and assuming the days to deletion will vary by message,  you will need to create a unique pair of rules for each message. 

Is there any way that I can set an expiration date on messages which I receive in Pmail?  Many times I want to keep a message relating to some upcoming event, but don't need it after the date of the event.  It would be nice to be able to change the message properties so that it would automatically delete after a given date which I could set.  Is there a way to do this?

Yes, you can. Pegasus has the most advanced message filtering capabilites you can imagine. In this case, you could create a mail filter rule based on message age. You could also create a logical AND rule stating criteria the message has to meet such as "marked as having been read".