You can't select multiple items in the LHS tree view. If you select the item labelled "Playlists", then the first-level playlists will appear in the RHS. Either drag-select all of them, or use Edit|Select All to select them all (Ctrl+A should work as well).
Then, once they're all selected, just press Delete. Say yes to the "Delete N item(s)" question, and then ensure that the checkbox is checked on the next dialog. Then hit "Yes to All"
To confirm that everything got deleted, go to the "All Tracks" view. There should be nothing in it.
Quicker than this, if you're competent with a shell prompt (and have a developer version loaded), is to delete the content of /drive0/fids and /drive1/fids. Then delete /empeg/var/database, playlists and tags.
Then, when you rebuild the database, there'll be nothing in it.
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roger