To delete the away messages you do not want to use any more, first bring up your AIM Preferences window by clicking the preferences icon in the Buddy List toolbar

or by right clicking your system tray AIM icon.

Now select the "Away Message" category on the left hand side, and you will see your list of away messages display on the right.

Select the away message you want to delete, and click the "Remove" button.  You can also edit or add new messages.  When you return to your list of away messages, the changes you made will be in place.