sorry, my first comment lacked one step:
menu> messages> inbox> options> select/mark all> options> clear all selected items
Please, keep in mind: all these messages will be lost for ever! If you would like to save a few of them, you can connect your phone to your computer and use Nokia's pc-suite.
And, a small part of those messages (about 200 mostly) are saved on your SIM, the other Sms's are stored in your phone's memory. Mostly a Sim-card with a lot of messages doesn't slow your phone really down, if the phone's memory contains many sms, the phone can't use the memory any more to store 'temporary files'.
Goodluck!