Rhonda, that button is below the select all choice. If you had clicked on select all your messages all would have had check marks added to the box next to the date on the right of each and you could have done something with all of them, such as deleting or moving. If you changed your mind, you could then click on deselect all and all the messages would have their check marks removed and nothing would happen to them.
You can try it by clicking select all - you'll see the check marks on each message and then click on deselect all and the click marks will disappear. DON'T DO anything else and your messages won't disappear!
Hope that clears it up for you!