Problem Solved,
Code :
Uri uriSMSURI = Uri.parse("content://sms/");
Cursor cur = mContext.getContentResolver().query(uriSMSURI, null, null, null, null);
if (cur.moveToFirst()) {
////Changed to 0 to get Message id instead of Thread id :
String MsgId= cur.getString(0);
mContext.getContentResolver().delete(Uri.parse("content://sms/" + MsgId), null, null);
Thanks