Click on "User CP", click on "Private Messages". Once in this screen, make sure the option for "Show messages From:" has "the beginning" selected from the drop-down box. Make sure you click on your "sent items" folder too to delete those.
Ah..cool, thanks for the suggestion. The email message received is misleading as it says, "Inbox full" my inbox only had 1 message. But my "Sent" folder had about 30 in it. Deleted that and all is fine. Didn't even realize there was a sent folder.