Threads organize replies to messages by collecting them together no matter when they were sent. The news reader trn was one of the first programs to support message threading. When your news reader downloads the messages in a newsgroup, it usually displays them in threaded format, so that it collects messages together into a tree based on their reply to ID's.
Most news readers show an arrow beside a message that contains a thread.
You can click on the arrow, and the thread of messages will open. You can then follow the thread by reading the messages one by one. It is considered good form to read all of the messages in a thread before you add a new message, so that you don't post something already addressed earlier in the thread. The most well known and widely used such product is Lotus Notes .