By default, replies to messages are grouped into conversations. A conversation keeps all messages in a thread together, which makes it easier to keep track of them and reduces inbox clutter. Here's how a conversation appears in your Inbox:
Note that the number of messages in a conversation appears to the right of senders' names.
Here's what an opened conversation looks like:
You can control whether messages are grouped into conversations: Click Settings in the upper-right corner of your Gmail window and, on the General tab, scroll down to Conversation View.
When using conversation view there is potential for confusion when applying labels and deleting items. Any labels you apply while in the message will apply to all messages within the conversation, there is no way to specify that one message receives one label and another message a different label. You can selectively delete, forward, reply, etc. a specific message within a group. With the individual message expanded open the More options menu (little arrow in upper right corner of the individual message) and select the desired action.
Unfortunately there are occasional glitches with the Conversation view and it will group unrelated messages with the same subject. Unfortunately there is no way to ungroup these items (hopefully something Gmail will look into in the future).