how do we delete someone elses private messages in the admin panal?

You can't control other peoples' PMs. You can see how many they have, but that is it. The only way to do this is if you log into their account, either by finding out their password, or just changing their password from the admin panel. I would suggest you don't try to log into peoples' accounts though, if you do your members may start to not trust you.

alright. because on my friends site he was able to delete peoples messages.. oh well.

yes you can clear peoples pm count by going to admin>>general>>> configuration...at the bottom of that page you can see how though i do not know if it actually does delete them, or just set the count to zero