Set your pm to friends only in settings on your profile.
Personally, I chose not to enable "Friends Only" messaging, but you can also click on the "X" on the main messages list and archive the entire message thread.
That way, you don't see it anymore on the "Main" window but you can still access it if you want by going the the "Archive" section.
I have been looking for this.....now I found it, thank you
I could not found the right settings bij now I do...thank you