Some mailers tend to "forget" to correctly set the "In-Reply-To:" and "References:" headers when replying to a message. This results in broken discussions because Mutt has not enough information to guess the correct threading. You can fix this by tagging the reply to a mail, then go onto this mail and use the ``link-threads'' function (bound to & by default). The reply will then be connected to its "parent" message.
You can also connect multiple childs at once, tagging them and using the tag-prefix command (';') or the auto_tag option.