I presume by 'shred' you mean, in an electronic sense, to completely delete a message so it can't be retrieved. The only way I know to do this is to delete the message, then empty the trash and compact folders.

Compacting folders removes deleted emails completely, which doesn't happen otherwise (they remain in the email database). If you've never done this before the first run will take some time, but your mailbox will be much smaller as a result.