I have installed Brian’s Threaded Comments and patched it a bit to work with SecureImage (CAPTCHA for anonymous comments). Now you can reply to a particular comment and have the comments threaded together. If you want, please feel free to try it out with this post.
P.S. In case you are running WordPress 1.5 and also want to get both Threaded Comments and SecureImage working, what you need is to patch Threaded Comments to rename the \$image array. Both packages use it and so they overwrite each other. Lovely global variables.