If you want to delete messages that are scattered throughout your folders, you will need to check the ones you want. If they are in continuous sequence, check the box next to the first one, then holding down the Shift key scroll down to the last one in the group and check that one. This will select everything in between. Then just hit the trashcan icon in the toolbar. Or, you can empty an entire folder by right-clicking on it, then on "Delete all messages".