In Magento Connect you will find some extension which will delete all cancel order and Pending Order, But it never delete all processed order. To delete all orders following code snippet can be used.
<?php
require 'app/Mage.php';
Mage::app('admin')->setUseSessionInUrl(false);
$sales_orders = Mage::getModel('sales/order')->getCollection()->getData();
foreach($sales_orders as $sales_order){
$id = 0;
$id = $sales_order['increment_id'];
try{
Mage::getModel('sales/order')->loadByIncrementId($id)->delete();
echo "order #".$id." is removed".PHP_EOL;
}catch(Exception $e){
echo "order #".$id." could not be remvoved: ".$e->getMessage().PHP_EOL;
}
}
echo "complete."
?>