A thread is created when a "new and original" post is made. When responses to that post are made they are linked together and create a thread.
If I start a thread called: "Is Carnival a Good Cruise Line" that post and all the following posts are considered a thread.
You may respond to the entire thread or you can respond to a specific post. Either way your response becomes part of the thread.
When you respond to a thread the entire thread is displayed below the response box. If you respond to a post then only the post you are responding to is displayed above the response box.
Either way: "Respond to post" or "Respond to thread" will yield the same result and your response will be added to the bottom of the thread.