Assuming that you are using OE6. go to View, Layout, then untick the Preview box at the bottom of the menu page. That will stop the emails opening unless you click on them . That is putting control back into your hands.
To do what you ask - Right Click on the header, and choose Delete from the context menu that appears. If don't even want them to go to the Deleted folder, hold down the shift key when you click on Delete.
If you do away with the Preview pane, as suggested above, you will be able to click on the emails once without opening them. This will enable you to select any number of them at one time and using DieSse's Shift key approach, delete them permanently all at once.
Have to agree with xtreme_computing. Have always been a bit of a sceptic as regards download managers, cheap utilities etc, but Mailwasher Pro is superb at dealing with unwanted emails, is extremely easy to setup and operate and very reasonably priced...and no...I don't work for them.