Instead of just pressing the 'delete' key try holding the 'shift' key down and pressing the 'delete' key with the emails you want deleted highlighted.
This is a permanent delete and bypasses the deleted files folder so make sure you really don't want it anymore - useful for any spam that gets through.
Dump Outlook Express and try to get a copy of the full Outlook or another mail client . Express has never been in the forefront of protection against SPAM, virus etc
And yes you can transfer your files from Express to Outlook but if you are using Netscape Mail there is some difficulty
Deleting emails (wityhout holdonf the shift key) only moves them to the Deleted folder, open that, press CTRL A (select all) and delete them from there.
Why does it always get bloody silly?
Remembered I had a copy of Outlook 2000, installed it, copied addresses etc over from Express, uninstalled Express, all working OK, except I now get two copies of all incoming mails! WTF?
For repair outlook express items use dbx repair. It doesn't require any special knowledges and the process of recovering will be simply due to handy wizard. Programs uses modern ways of restoring data, interface, compatibility with any Windows OS, low system requirements.