If you click on the first of the ones you want to delete, hold down the Shift key (usually shown with a an arrow, above the Control key) and then click on the last or lowest of the messages. This should highlight the range chosen, you can then press delete and the whole range will be deleted (may take some time though.....)
To delete selected messages, press the Control key, then click on the first message, then the next one and so on, this should highlight just the ones you have chosen and you can then delete this selected range.
To summarise:-
To delete a continuous range of messages, use the shift key and click on the first and last of the range then press Delete.
To delete various different messages in one go, use the Control key and click on the selected ones, then press Delete.
NB - This works for deleting files as well as messages!