I have read that those messages are stored on the SIM card. You must remove the SIM card (behind the battery) from the Blackberry and put it into some other device that can read a SIM card . Many Mobile phones can read SIM cards and this is probably your best bet for reading your card. Once you have put it in the other device you will have to navigate the device (sorry, I can't help you here) and locate the offending message. Delete the little devil and you should be home free.
Oh yeah, don't delete anything else while you are viewing your card - you could make your BBerry go all woogie
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Message back if this works.
Thanks
Bacon (is my dog)