Comments Reply Form

1. Ensure that you have Threaded Comments enabled: go to Dashboard -> Settings -> Discussion and enable the option to thread comments

2. Ensure that your Theme enqueues the comment-reply script. Look for the following, usually in header.php, functions.php, etc.:

   <?php wp_enqueue_script( 'comment-reply' ); ?>
   

   Note: this call is usually wrapped in a conditional, such as:

   <?php
   if ( is_single() && comments_open() && get_option( 'thread_comments' ) ) {
       wp_enqueue_script( 'comment-reply' );
   }
   ?>
   

   Note 2: You may also see this code inside of a callback, hooked into wp_enqueue_scripts, wp_head, or comment_form_before

Edit

To enqueue the comment-reply script via functions.php, don't just put. That's_doing_it_wrong()`, because it will fire far too eary. Do this instead:

<?php
function wpse52737_enqueue_comment_reply_script() {
    if ( get_option( 'thread_comments' ) ) {
        wp_enqueue_script( 'comment_reply' );
    }
}
add_action( 'comment_form_before', 'wpse52737_enqueue_comment_reply_script' );
?>