Removes the indexed error (both error message string and error message number) from the message list. The method decrements the NumMessages property by 1 and moves the messages after the indexed error forward in the list by 1.
For example, if there are five messages in the AppError object's list of messages, and the RemoveMessage method has a MessageIndex of 3, then the method removes message three. It also updates message four to be message three, and message five to be message four. Finally, it sets NumMessages to 4.
