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CHAMP0Select (highlight) the messages you want to delete --
To highlight many messages hold down the Ctrl key while selecting them. To select a block of them, highlight the top one, then holding down the Shift key, select the bottom one and they will all be selected (highlighted). To select the whole folder, Ctrl-A.
Then Right click and select Delete or just hit the Delete key.
If you hold down the Shift key as you hit Delete they'll by-pass the Trash folder and delete immediately.
After you delete a bunch of emails, 'Compact' your folders -- When you delete messages they aren't physically deleted, but only marked for deletion and hidden from view. They are not physically removed until you "compact" the folder.
Folders tend to get corrupted when you have lots of messages in a folder, many of them are deleted, and you don't compact often enough. This is usually only a problem for the inbox folder as while other folders may get very large you typically don't delete messages in them often. Its recommended that you keep the number of messages in your inbox small, and move any you want to permanently keep to other folders/child folders.