How can I delete many messages from Yahoo mail?

Yahoo Mail Beta, which just came out should solve your problem.

To delete messages in a folder: 1. Open the folder, which contains the message to be transferred. 2. Place a check in the box to the left of the message you would like to delete. To select all messages, just click the "Check All" link at the bottom of the page. 3. Click the "Delete" button to have all selected messages transferred into the trash folder. 4. To permanently remove the contents of the trash, click the "Empty" link next to the trash folder in the left navigation bar. Next, you will see a prompt asking if you're sure you want to delete all messages. Click "Yes" to delete or "No" to return to the previous page. Please Note: Once messages are emptied from the trash folder, they are permanently deleted from the Yahoo! Mail server and cannot be recovered.

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