After you delete a message, it moves to the Deleted items folder first. This can be done even if your phone is not yet connected to the program. But those messages cannot be deleted completely in this case, though they can surely be restored to theirs folders when using the 
button.
When the phone is connected to the program, you are able to delete unneeded messages. Simply click Delete button (
) on the Deleted items toolbar and selected messages will be deleted both from the phone and from the program at the same time.
If you've deleted messages from your phone manually, they will be displayed with the Disk location (
) in the program next time you will read messages from the phone. These messages can be deleted from the program even if the phone is not connected.
Please, pay attention: at the moment you cannot remove POP3 and IMAP4 messages from your phone using Symbian SMS Manager program.
See also: