I don't use WLM but the standard Windows 'block selection' technique works in every email client (and, indeed, in every web-based email service) that I've ever encountered.
So (just as if you were selecting a whole block of files in a folder) click on the first one and then hold down Shift while clicking on the last one. Then select 'Delete'.
If there are a few emails that you'd like to retain within a block, select the whole block and then hold down Ctrl while deselecting the relevant items.