You've not stated how you're viewing your emails. If it's with an email client (such as Outlook Express or Windows Live Mail) then holding down the Ctrl key, while clicking on each item in turn, allows you to highlight a collection of email messages (which can then be deleted in one go). If there's a continuous long list of emails that you want to delete, click on the first one and then hold down the Shift key while clicking on the last one. (That will highlight the entire block). If you need to deselect one of the emails within that block, hold down the Ctrl key while clicking on it.
All of the above are the standard file selection techniques which work in any window (as well as in programs like Outlook Express and Windows Live Mail). Some of them might also work if you're viewing your mail through a website but, since each webmail provider configures their site differently to others, it's impossible to say which ones will work. (However simply placing ticks alongside all of the messages you wish to delete, before clicking on the 'Delete' button works in most, and probably all, webmail systems).