You can not retrieve Facebook message you have already sent out. You can delete the conversation in your message inbox but that does not delete the messages in other persons message inbox.
To delete the message from your inbox, click on the message and choose ‘delete messages’ from ‘action’ tab drop down.
If you only click ‘x’ at the end of the message, it will only archive the message but do not delete it completely.
If someone would know how to retrieve Facebook message I have already sent out, I would also like to know how to do it, however I think that is not possible.