How to delete a month of messages
I have just downloaded Thunderbird as my Mail program and it has downloaded well over 900 messages so far. I only keep messages for one month then I delete the previous month.
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Delete from where? You clearly haven't been deleting your messages from the server, or they wouldn't be there queuing up to be downloaded to Thunderbird.
Does this account use POP or IMAP? Are you clear about whether you want to permanently delete all of these messages, or just not have to see them?
To delete all messages before a certain date:
Sort your messages into date/time order by clicking the date column header button. Either ascending or descending will do. Repeated clicks on the button will reverse the sorting order. Let's assume you sort oldest first. Navigate to the most recent one that you want to delete. Click it to select it. Use control + shift + home to select all the messages above it, that is up to the top of the listing. Now all those messages are selected, and the delete key or button should act on all the selected messages.
Note that 9000 is rather a lot to do in one go. The email protocols are not well suited to big batches; they work best in a "little and often" mode. So having sorted and then selected the first one, it may be better to use shift + page up a couple of times, then delete, and repeat until done