You can select a box at the top that says "This week" or "yesterday" or "2 days ago" and that will select all the PMs in that category and then delete them before that.
Don't you have a 500 PM limit, though? You should just go and delete all your messages and start over. Also, what I do is delete all my sent messages every week and then every once in awhile, I'll go through my inbox and delete the ones people sent me that I don't need anymore. A lot of PMs you have to keep though, so it's tough to delete
Hope that helps? lol