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.” Threaded commenting is useful as it allows you to reply to each specific individual comment and participate in a group discussion or follow individual conversations.
1. To change your commenting settings, just go to the Comments section and select settings
2.In settings select Posts and comments.
3. In posts and comments a box will open up offering 4 options:
5. Select Embedded and save.
6. Click on settings and choose Other
7. Where is says Site Feed change itto Full and Save.You have now enabled threaded commenting.