Enabling threaded commenting
If you have commenting enabled on your blog, then threaded commenting will work provided you have your blog feed set to "Full," and have chosen the “Embedded" option as opposed to “Full page” or “Popup window.” To change your commenting settings, just go to the Comments section under Settings | Posts and comments. The setting to change your blog feed can be found under Settings | Other.
A threaded commenting system means more discussion and back-and-forth dialogue. If you’d like to be notified of any updates to a discussion, just click “Follow by email” to subscribe to the thread. This way, you’ll be notified via email so you can keep up with the conversation. Keep in mind that this is a different subscription than the “Follow by email” gadget used to follow another blogger’s blog posts.