I don't use Vista but I'd be very surprised if the method of deleting e-mails is vastly different to that used by Outlook, Outlook Express and every other email client that I've seen. Try these techniques:
1. To delete several different emails in a folder (whether that folder be 'Inbox', 'Deleted Items' or anything else), hold down the Ctrl key while selecting each mail you want to delete. Once you've highlighted all of them, hit Delete.
2. To delete a continuous list of emails, within any folder, click on the top one in the list, hold down 'Shift' and click on the bottom one. Then Delete.
3. To delete all mail within any folder, click on any individual mail, then go to Edit>Select All. Then Delete.
4. To empty the 'Deleted items' folder in Outlook Express, you can right click on the folder and select the relevant option. It's likely that you can do the same in Vista Mail.
Chris