Matt is correct.
Go here:
http://www.ablemuse.com/erato/private.php
At the very bottom of the page, choose
Download all Private Messages as: XML | CSV | Text
Unless you're good at excel, or know how to code XML, choose text.
Presto-chango, they all come down.
Well, copies of them do. Go back up to the top of the list. See that little white checkbox, hanging out on it's own? Click it. Now go back to the page bottom. There's a drop down that says 'move to folder'
Drop it down, and choose 'delete'
Then click go. Rinse and repeat until all those nasty messages vanish
Thank you for your patience.
Best,
Bill