This works in most e-mail clients;
To delete a block of e-mails;
Select first message to delete.
Hold down <Shift> key
Select last message to delete
All messages inbetween will be highlighted and can be deleted ('delete' X button, or right-click > delete)
To delete several messages that are not adjacent;
Select first message to delete.
Hold Down CTRL key
Continue to select messages you want to delete - as long as you keep holding down the CTRL key, they will all remain highlighted.
Delete in the usual way.
When you want to delete the bulk of your messages with a few exceptions, you can use a combination of these, but in reverse;
Select all messages by clicking on the first > hold down <Shift> key > click on last message.
All messages shoul now be highlighted.
Now hold down the CTRL key.
Click on a message you do not want to delete.
This will UNSELECT the message (it will no longer be highlighted). Continue to click on those messages that you want to keep (whilst holding down the CTRL key) until only the bulk of messages to be deleted remain highlighted. Delete these in the normal way.
Try it for yourself !