If a folder does not have a Delete All button you select all and press delete. Select one message. Press control+a to select all. Press Delete. You might want to learn the universal shortcuts for item selection. shift clicking and control clicking in addition to control+a. They come in handy.

Thank you - worked perfectly. How can I learn all these shortcuts or is it just by experience?

These are Windows shortcuts. They have worked since the beginning of Windows. The first page found using a search happens to be for Win7 but these shortcuts work on all versions of Windows. http://www.speakeasysolutions.com/blog/2009/11/30/key-keyboard-shortcuts-to-save-you-time-selecting-files-with-windows7/

Here is the Thunderbird list that includes operating system shortcuts. https://support.mozilla.org/en-US/kb/keyboard-shortcuts