If you're trying to delete messages by just clicking 'delete' without the confirmation on individual messages, go to your inbox, click on options, then turn off "Confirm Delete". That way when you hit the delete key, the message is immediately deleted.
I was wondering the same thing - how I do it is, I hold the the shift key down, and roll the trackball down to where I want to stop and delete the messages. - very quick and easy... before I found this out I was individually deleting each message.