Many great new options comes with the new 2.7 version of wordpress. One of the great new features is the “reply to” comment option.
Don’t forget to:
1) upgrade your wordpress version to 2.7.
2) enable threaded (nested) comments in Discussion settings.
Next upload these two plugins and play with their settings. that’s it.
WordPress Thread Comment
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.
You can see how it works down here at the comments section.