Hi!
You either need to go through them page by page, or you use a tool like phpMyAdmin to manually cleanup your "serendipity_comments" table.
You can click on "Invert Selection" at the bottom of the page to check all comments on that page, and then click on "delete" to delete those. Then you will see the next page of comments, and you can do that over and over again.
For preventing spam, using a recent version of the spamblock plugin can do miracles for you, if you configure it to suit your needs and match the spam you usually get.
Best regards,
Garvin