WordPress threaded comment came in the WordPress 2.7 update and many themes had to be recoded. If you are using themes that do not have threaded comments, a few coding changes can help that!
1. Setting > Discussion > Enable threaded comments – levels deep.
2. Download the Default theme, and replace all the text in your theme’s comment.php.
To give it a little style, add this little code to your style sheet.
.commentlist li ul li {background-color: #f3f2f1; border:1px solid #e5e4e2; padding-bottom:10px; margin-bottom:10px; margin-top:13px;}
.commentlist li ul li ul li {background-color: white;}
and you’re done!
Source: idratherbewriting