There's a drop-down menu bottom right below the messages. You can select which ones to delete, or tick the box next the drop-down menu to select all (and manually unselect ones you wish to keep) then go to delete on the menu.
"You're a big man, but you're in bad shape. With me, it's a full time job." – Lt. Bromhead to Prince Dabulamanzi before the Battle of Rorke's Drift.