Open your mailbox, click Show All. On the right side will be a column of checkboxes - click on the ones for any conversation you want to leave... At the bottom of the page you will find a menu box that says Choose Action (it isn't there until you click at least one box). Click on it, and select Leave, then click Go.
Alternatively, when you are viewing a message, there is a menu box at the top left corner (below the title, right at the top of the first message). Click that, then select Leave