According to http://docs.oracle.com/javaee/6/api/javax/jms/Message.html#acknowledge()
A client may individually acknowledge each message as it is consumed, or it may choose to acknowledge messages as an application-defined group (which is done by calling acknowledge on the last received message of the group, thereby acknowledging all messages consumed by the session.)
How can I do it in ActiveMQ? I was unable to make it work.
I am correcting my answer after the below comments with Matt Pavlovich.
So, the CLIENT_ACKNOWLEDGE option can NOT be used to send an acknowledgment to the JMS provider for a single message.
You can look at spec here:
http://download.oracle.com/otndocs/jcp/jms-2_0-fr-eval-spec/index.html
here is example with ActiveMQ client,