Anyone not sure about the law regarding letters (I am assuming that Facebook messages sent privately will fit here) and who is interested, please read on:
"The property in a letter in terms of its ownership belongs to the recipient, being the party to whom it is addressed. The recipient can, if he wishes, destroy the letter and, if it passes out of his possession, sue for its recovery. However, this does not mean he can do what he likes with the letter or its contents, as to which there are two main qualifications.
The first is that copyright in the letter belongs to the writer, so that the recipient may not copy or publish it without the writer's consent but, as with any other copyright work, information contained in the document, though not its precise words, may be communicated to a third party without the writer's consent, unless - which leads me to the second qualification - such information is of a private and confidential nature or unless, where the writer himself has published the letter to a third party, the recipient also needs to publish it in order to refute an attack on his character or reputation contained in it.
Marking a letter with words to the effect that it is intended as 'private and confidential' does not necessarily make it so, although it is evidence of the writer's intention and, as such, has a persuasive effect. An obvious example where such a designation would not be effective is where the contents of the letter relate to matters or events which are in the public domain. Whether or not information contained in a letter is to be regarded in law as private and confidential is a matter of fact in each case and, interestingly, there is a section in the Copyright, Designs and Patents Act 1988 which expressly stipulates that nothing in the relevant part of the Act affects the operation of any rule of equity relating to breaches of trust or confidence. The same applies to any rule of law preventing or restricting enforcement of copyright on grounds of public interest or otherwise...
Copying can be licensed and any confidentiality can be waived by the writer (or other copyright owner) of a letter if he is so inclined."
This is an extract from, http://www.thestage.co.uk/connect/eagle/0520.php