No, there is no way that I'm aware of to do that on this particular Message Board system.
I suspect you're thinking of a hierarchial system like that used in Yahoo and on very old Message Boards.
The phpBB3 set up is chronologically linear... posts will appear one after another sorted by the time and date they were made, irrespective of who they are addressed to.
In part it depends on what you're used to, I think. I know I find it very difficult to follow the flow of conversation in the Yahoo style model... and this "chronologically linear" method is certainly the standard method on the Internet at this point in time.