Summarize:

Click on the "Messages" icon. The Nokia Communication Center subprogram will appear. Choose from the drop-down list. The program will automatically sync all your message folders from your phone. Normally, most text messages are located inside the Inbox. However, you may also delete messages from other folders, such as Drafts, Sent, Archive, and other personal folders. Select a text message by clicking on it to highlight it. Then press "Delete" on your keyboard or click on the trash icon. Confirm the deletion by clicking on the green check button. Press the Ctrl key on your keyboard while clicking on the text messages to select multiple items; all the selected messages will be highlighted. Then "Delete" on your keyboard or click on trash icon. Confirm the deletion by clicking on the green check button. When you're done, click "File" from the menu then "Exit."
Launch Messages. Select the phone you wish to use. Select a folder. Delete messages individually. Delete multiple messages. Exit.