Positive operator valued measurements (POVMs) play an important role in efficient quantum communication and computation. While optical systems are one of the strongest candidates for long distance quantum communication and information processing, efficient methods to implement POVMs in these systems are scarce. Here we propose an all-optical scheme to implement an arbitrary POVM using linear optical components on m-dimensional Hilbert space of internal degrees of freedom. Linear optical nature of the proposed scheme makes it efficient and robust. We show how the scheme can be applied for state tomography and for preparing arbitrary mixed states.