There are two things that can be called windows live mail, one is a program installed on your PC, the other is a webpage you you view in your browser, my first answer applies if it's the program installed on your PC.
If it's the web based one then the best you can do is select one page at once by ticking the little box on the left of the bar above the mails and then deleting that one page. it will still take time, but a lot quicker than doing it one at a time.
The way you can delete a folder full of messages is to hold the shift key and click on the first mail (together). This will highlight the messages in blue. You can then press Delete to get rid of the lot.