As you probably know, Gmail normally groups all messages that are part of the same subject thread into a single conversation. You click the conversation in your Inbox to open the stack of messages. The original and therefore oldest message is at the top of the stack (1), the newest message is at the bottom (2), and any other messages in the thread are stacked chronologically in between (3).
As with any mail system, you can reply, forward, print, or delete individual messages. In addition, you can also perform some handy actions on the entire stack. Here's a look at just some of the things you can do.
Working with the entire conversation
Click buttons above the conversation stack to perform actions on the entire stack:
Working with an individual message
To open any message in the conversation stack and view its contents, just click it in the stack. Click again to collapse the message when you're done with it. While the message is open, you can open a menu inside the message to perform actions on just that message. Here you can reply to the sender (Reply) or all recipients (Reply to all) of just that message. You can forward or print just that message. You can delete just that message from the conversation stack, and more.
Note that when you reply to a message, your reply goes only to the sender or recipients of that message. It doesn't go to everyone else in the conversation.