Once you pick a thread to read, you will have four options of how to view the messages - see the links up at the top of the message, saying "thread", "flat", "inline" and "nest". Note: Once you find which of these views suit you best, you might want to go to your My Profile page. There, you can permanently select the view option you like, which will always present threads in the mode you chose.
The default mode is "thread," which will display the first message and then display a list of all the follow-up messages. You may notice that there are multiple levels of indentation. This is due to "sub-threading." Replies to the original message are indented one level. Replies to a reply are listed below it and indented another level beyond that. This way, if someone posts "what's your favorite monster movie?" then someone else posts "Frankenstein" and a discussion about that movie starts, those messages can be kept together and be easier to find.
Some people prefer to see ALL the messages in the thread on one page. If that is your preference, choose "flat". This will display each message in the thread in its entirety, in the order which they were posted.
The "inline" view is quite similar to the threaded view in that it shows one message of the thread at a time. The difference is that in "thread" view, the specific message being read is always at the top of the display, no matter where it appears in the thread. In the "inline" view, the one specific message you are currently reading is shown in its location in the whole thread, instead of being moved to the top of the thread to be displayed.
The "nest" view is a combination of "thread" and "flat". Like "thread" view, the messages in "nest" view appear with sub-threads subject lines indented, while maintaining the "flat" characteristic of displaying every message in the thread at once.