If emails you want to delete are eg: oldest then sort by date ascending so oldest is at top. select first email and then hold down the 'Shift' key and select the last email you want to delete. All emails between will all get highlighted and you will see X number of conversations listed in Message Pane. You will be offered two options 'Archive' or 'Delete' - click on Delete.

This hold down 'Shift' and selecting first and last email is good for doing contiguous batches.

If the emails you want to delete are various throughout the folder and not necessarilly one after the other in the list, then hold down 'Ctrl' key whilst left click selecting of emails to highlight them. Then only selected emails will get highlighted and you will see X number of conversations listed in Message Pane. You will be offered two options 'Archive' or 'Delete' - click on Delete.

If you want to delete all emails in a folder: Select an email in that folder to get focus. hold down 'Ctrl' and click on 'A'. This selects all the emails in that folder. Then use the 'Delete' button as before.

After deleting a load of emails from a folder: Right click on folder and select 'Compact'.

Why? When you delete or move emails they get 'marked as deleted' and 'hidden'. But in reality, they are still in the original folder. This means if you delete in error, it is easy to recover them. But the file containing the emails is now bloated with those 'marked as deleted' emails and the file looks untidy and is therefore more prone to getting corrupted. Compacting will tidy the file and remove those 'marked as deleted' emails. This will gain space on your disk and reduce the risks of losing good emails by keeping a neat file.

In addition to date mentioned by Toad-Hall, I often delete across all folders of an account by size "is greater than" using Find > Search Messages (with "search for messages in" set to the account) - sometimes in combination with age