I'm guessing you're using a client, rather than a web-based interface... If so, the emails are already on your computer (wherever your mail client puts them, probably in a format only it can read), but duplicates reside on the mail server. Somewhere in the preferences you should find an option for "remove mail from server when deleted locally" or "erase read messages from server". In Mail, it's in Preferences -> Accounts -> Your account -> Advanced. Not sure exactly where it is on other clients. Enable this and the client *should* delete most of the messages on the server. If you continue to have problems afterwords, or need more help on this step, let us know--
pnw