You have several different folders in your "Hmmmmmmm" box. You need to go through each one and delete them. Also, you will need to make sure that it is showing messages that are from the beggining not just the last week.
Play around with those ideas and you will figure it out.
When you log in, you will only see your new private messages. What you need to do is either click the drop down box to show all your msgs in your inbox or click the "view all private messages" and then delete. I normally just click on the text to view all private messages and then just delete.