The default Page View is to show messages from the last 10 days, so any PM's you may have older than that will not show on the page, but will definitely still be there in your Inbox/Sent Folder. If you open the menu box "Show All messages from .." and click on a longer time period, such as From the beginning, you'll see the complete list of all the messages you have in your folder.

Going through one by one is fine, but time consuming, unless there is a particular message that you wish to save. I copy my important messages (such is detailed info and links to webpages etc) in a folder on my Desktop .. then delete.

If you want to delete all the messages, you can do so with one click ... on the Inbox page, in the (pink) header bar, right below the jump box Wa'il mentioned, you'll see a little box ... if you put a check in that box, it will select ALL the messages, including the ones older than 10 days that you don't see .... then at the bottom, choose Delete, and voilà, Inbox is emptied. Go to your Sent folder and do the same.

There is room for each member to have 10 messages total from ALL folders not just Inbox. Think about it, if the 15,000+ members all have full PM boxes .. this takes up a HUGE amount of space on the server ...

Doreen