I think U need this plugin Download Can here http://downloads.wordpress.org/plugin/wordpress-thread-comment.1.4.9.3.zip Descriptions this plugin : This Plugin is an enhancement for Wordpress's comment function. It enables users to reply on a exist comment, and the discussion will be displayed threaded or nested.
Actually, now you dont need any plugins, threaded comments are built into wp starting from wp 2.7 go to the "discussion" in the settings tab, and enable it. But your theme must be compatible with it