I have not figured out a way to delete messages left on GV's voice mail. After you've heard them, they can be "archived", but not deleted. They may eventually get deleted after some period of time (30 days?). If you set it up to do so, you can be notified via email when you receive a voice mail on GV, but although you are able to listen to it from the email, the voice message itself is not part of the delivered email, but is fetched from the server.
(If anyone knows how to delete a voice mail immediately from GV, I'd appreciate learning the trick.)