First, no one is going to go to the trouble of emailing you with an answer to your question; it's rude of you to ask someone else to go to the trouble to help you when you won't help yourself. Unnecessarily bolding and underlining your message won't help you either.
I should be telling you to hit the search button so you can find what you want to know on your own, but I see that this is only your second post, so I'll be nice.
I'm not trying to beat you up here, but this is basic etiquette -- common courtesy.
The feature you want is called "threaded messaging", "threaded SMS", "threaded text messaging", etc. It is included in Windows Mobile 6.1 natively; otherwise, you have 4-5 programs that will do that for you. The most popular is Palm Threaded SMS ripped from the Palm Treo 750v. You won't be able to find it posted here because it's not technically legal. Google can probably help you the rest of the way.
Good luck!