If a topic is threaded, then you can see which comments are replies to other comments. If the topic is non-threaded, then you just see all of the comments in order of when they were written.
I personally always use threaded, because most of the comments are replies to other people's comments, and if you can't see that, then half of the comments don't make any sense.
All topics should be automatically threaded. If you click on the butten that says "non-threaded", it'll change the thread to non-threaded, so yeah... Don't click that button. 
