Threaded SMS in Windows Mobile 6.1 is a great feature. But if you would like to disable it, follow the instructions below:
First, you will need to download a registry editor. PHM Registry Editor is the one I use and it is free. It can be downloaded from http://www.phm.lu/Products/PocketPC/RegEdit/
Open the editor and navigate to HKEY_CURRENT_USER\Software\Microsoft\Inbox\Settings.
Create a new DWORD value called SMSInboxThreadingDisabled and set it to 1. Close the messaging application or restart your device. Open Messaging > Text and you’ll see the classic view. To revert back to threaded view, change the value to 0.