Sorry to bump this old thread, but my problem is that I already deleted the user... and all the posts remained.
I guess I missed the delete messages option.
So I looked at a possible solution, and as I didn't find one, I invented one myself.
Execute this using the "MySQL Query Browser":
DELETE FROM smf_messages WHERE poster_name='spammer';
Note that the "smf_" prefix is something you put as you config the forum, this is the default prefix, but yours may be different.
Obviously the name 'spammer' is where you put the member name.
Then use the routine mantainance tools to 1. Find & repair errors (do it and fix until there are no more errors reported) 2. Recount all forum totals and statistics (because stastics will be wrong)
I wont give more details using this solution; if you need more, clearly this is not the solution for you. And that's because the following warning:
WARNING!: Using data-modifiyng queries on your database can destroy all your forum (and other things you may have on the database), so proceed with extreme caution. This worked for me, but I can't be sure if it'll work for you. Backup your database befory trying this.