Yes, we actually have an Ignore Option!   
Its weird but its true.

Just click on your own name to go to your Profile Settings,
then click the header: Personal Message Options.

I know, that seems to be a strange place to hide that option since it has nothing at all to do with "personal" messages. It would have been nice if it had been in the open, someplace. But the original programmers (in their wisdom) probably didn't think it would be all that big of an item.  I Guess they've never been to MyWay or eXcite....