Here are some steps you can take to automatically delete a private message from a user that keeps sending you unwanted private messages:
1. Go to your Inbox
2. Click on 'Rules, folders & settings' on the left hand side of the screen
3. Under the 'Add New Rule' section - click on the drop down menu and select 'Sender' and then click 'Next'
4. Within the next drop down menu select the word 'is' and then click 'Next'
5. Within the input line type the players name you do not want to receive messages from and then click 'Next'.
6. From the drop down menu - select 'Delete message' and then click 'Add rule'