Download and install the latest version of Nokia Suite from HERE ...Connect your Phone to Pc and open Nokia Suite -->Messaging.. Select SYNC Messages next to the Phone Icon at the Bottom.. Once done, click on 'Conversations' at the top and check whether all the messages are now visible within the Suite. If so click on Inbox in the Bottom window, next to Phone Icon.. select all messages and DELETE them.. same for messages in all other folders in the Phone window at the bottom. (Be careful that you are not selecting the folders in the Top window..)
Now disconnect the phone.. Reboot it and check again...