Message-ID: <[EMAIL PROTECTED]>
References: <[EMAIL PROTECTED]> <[EMAIL PROTECTED]> <[EMAIL PROTECTED]>
X-Mailer: Microsoft Outlook Express 6.00.2800.1437
It helps to see the actual headers, and unfortunately OE makes that much more difficult that most email clients. Each message you send has a unique Message-ID header. When you reply to a message, that message's ID is added to the new message's References header. It's the References header that's used by threading email clients to decide how to display related messages in a thread. A brand new message starting a new thread has no References header, so it's displayed at the top level of the thread hierarchy.
BTW, Mulberry (what I use) lets me "reply" to a message then select "Create new message", which effectively deletes the References header (and body and subject) from the new message while maintaining the addressing information. Highly recommended.
