It is annoying that there is no simple method, I'd like to see a right-click "remove from conversation". However, one partially succesful work-around: you can Move (in right click menu in 2010) the message to a different folder, and that will sorta pull it out of the conversation thread (but it is really just placing it deeper). I say sorta because it does not show up on the first level of conversation expansion, but it is still there if you fully expand the conversation (you can only see that if you checkbox Conversation Settings>> Show Messages from Other Folders). This works better if you have Conversation view turned off in the 2nd folder.