Select a number of items that are next to each other by selecting the first one, then press Shift, move the cursor down to the last one. That will select every item in between as well. You can then delete them all at once. If the items are not next to each other, hold down the Ctrl key and just select the items one by one, then delete all the selected messages at once. If you have a problem deleting with the Delete button, you can use the File button and move the selected messages to the trash. After deleting, empty the trash and then compact the folders.