To add to what Todd said, there is also an option in Messaging that lets you modify the behavior of the software after you deleted or moved a message.
On the Smartphone, open Messaging, click Menu - Tools - Options - Display.In the "After deleting or Moving a message:", you can choose whether to Return to message list, show next message or show previous message.
On a Pocket PC Phone, open Messaging and tap Menu - Tools - Options - Message tab