Hi @Calli12,
Since the Xperia E5 does not have an inbuilt answering machine, you are using your service provider (operator) voice mail. I would recommend that you get in contact with them and they will be able to provide you with the correct instructions on how to do this.
Usually you get an option at the end of the voice mail to keep or delete the specific voice mail but there may be a way to delete of them at once.
I wish you the best of luck and let me know how it went! 
