This article explains how the conversation feature (grouping of messages) works in Google@UH Gmail.
Gmail groups all replies with their original message to make messages easier to follow. These grouped messages are called conversations. Click here for more information on conversations. This feature is turned on by default. You can turn this feature off by going to Settings. Under General, look for the Conversation View setting and select Conversation view off.
While in the conversation, you can click on the drop down arrow on the far right of the message that you wish to delete and select Delete this message.