You have to manually select the PM's you want to archive. You can either check the boxes individually, or mass select them by checking this box. Remember that you have to do it for each page of your PM's to archive them all.
Edit: It also works with Safari. :)
Elryn -> RE: Acrhive PM's (2/28/2013 12:36:40)
It should also be noted that this feature only works on the Internet Explorer browser. That may be why you are having difficulty with it. It will not work in other browsers.