To delete for example say 6 consecutive emails:
Click on the first email so it is highlighted
Hold down the Shift key and click on email number 6
Now all 6 emails will be highlighted and you can press Delete on your keyboard.
To delete for example emails numbers 1, 4, 6 (keeping 2,3,5)
Click on the email 1 so it is highlighted
Hold down Ctrl (keep it pressed) and in turn click on email 4 then on email 6.
Now emails 1,4, 6 will be highlighted and you can press Delete
To Delete the lot (3000+) you click on a blank part or any email and then on your keyboard hold down Ctrl and press A and the whole lot will be selected highlighted and you can press Delete on your keyboard.