This article explains how you will need to delete an entire message in order to remove a photo or file from My Photos and My Attachments.

If you would like to delete a photo or file from the Photo View or Attachment View, it is necessary to delete the original message that contains the file attachment.

Please note that deleting the message will delete all of the photos or files that may have been attached to the message. After deleting a message, the message is moved into the Trash folder, where it is automatically removed at a later point in time.

From the Photo View
Click on Subject, located directly below the photo thumbnail. This will display the message that contains the file attachment. On this page, you can click Delete to delete the message and the attachments.

From the Attachment View
Click on the Message Subject for the thumbnail. This will display the message that contains the file attachment. On this page, you can click Delete to delete the message and the attachments.

From the Message View
Click the checkboxes next the messages you would like to delete, then click Delete at the top of the page. You can also click on the Subject of the message to view the message, then delete the message from that page.