The Data Loader is a client application for the bulk import or export of data.Use it to insert, update, delete, or extract salesforce records.
Some times we need to delete multiple records of a object at a time. But Generally the people prefers to delete through any UI, like Visual Force Page.
This tip can help you to delete bulk of data of a Object using visualforce page.
The building blocks are there to kick off the action and the records have been passed to the routine.
Now all you need to do is to implement the specific business logic.
This page does do a Do Delete() method, but it could just as well do a Do Status() or a Create Child Object() routine.