There are two steps to removing multiple frames at once.
Firstly, select the frames you want to delete by holding command and clicking on the image (or Shift + Click on PC) for a given frame. Selected frames will appear lighter in colour and have a grey border around them.
To de-select a frame, hold command and click the image again. The border will then be removed, indicating the frame is no longer selected.
Then, when you've selected all the frames you want to delete, click the green "Delete selected" button in the header. If you don't want to delete your frames, just click cancel.