I'm not sure if there is a way to do this, however, I have found that if you try to delete very many e-mails at the same time it can wreak havoc with the e-mail client or whatever you're using.
Instead of doing this, I recommend you go to the particular folder and start at the bottom. Click the oldest e-mail and "shift-click" an e-mail about 50-100 e-mails removed from that one to highlight say 100. Then click "delete". Wait until that function has been completed and do it again a few times. Do not try to delete say 1000 e-mails at a time. Come back sometime later and repeat the process. I do this to remove e-mails from my "deleted" folder in Outlook, however, I once tried to delete a huge number and the Outlook database "blew up" and I needed to run a recovery process, so I don't recommend bulk deletion that puts a strain on the system in question. Hope that helps.
@Shesammy : That depends on what you're talking about. If you're talking about Webmail, I have a box near the top of the list with a down arrow beside it. If I click on that box it selects all the items in that folder and then you can delete.
If you're talking about doing it in an e-mail client like Outlook, you can click on one e-mail, then "shift-click" on an e-mail that is "far away" from that first one. This will highlight those e-mails and all the e-mails in between. You should then be able to hit "delete" to delete them all. However, as I stated earlier in this thread, I don't recommend doing too many at once. Select say 50 at once and only do this several times leaving a few seconds between deletes, otherwise your client may crash causing damage to your database.