I have three email accounts set up on my Acclaim, my GMAIL account, required to do most anything useful on the phone, my AT&T account, linked to my home DSL service, and run through the Yahoo mail app, and my corporate Exchange mail account, which uses the phone's Email application. Each one of these has a method to select multiple messages for deletion.
I am assuming you are using the Email application on the phone. When I am in the message list view, there is a little checkbox on the left side of each message in the list. I can select multiple messages using that, and then select Delete using the menu key.
I hope this helps you out.