Do not delete them straight from database!

Create a database query using function elgg_get_entities(), loop through all the found messages and call $message->delete() on each of them.

Thanks Juno! but I'm not an php expert and I can't develop this script or little plugin.

I'm a professional developer but even I wouldn't want to delete messages straight from the database.

I recommend hiring someone to write the script for you in case you can't do it yourself.

Thanks Juho! We talk about this request like a profesional service by PM.