ellieoop: I don't know if it is different on a mac. But in the pc version, you click tools->delete private data... if you click the "details" button in the upcoming dialogue, you can select which data you want to be deleted.

edit: and if you do it like you did it (i.e. click on "history" not on "delete private data"), you can click on "view" (the one just above the history table, not in the main menu) and change the view to "by time visited" - now you won't see the nondeletable folders and you can select all items with ctrl+a. Now the "delete" button should get enabled, and you can delete them all.