What follows depends on the server's retention policy for messages or articles. On high volume newsgroups, it might not get all the articles. And it may not be that reliable as the servers may not thread the articles properly.
The simplest method is to use A T to retrieve the entire thread when the cursor is on a article. The second option is to use A R which fetches articles that are mentioned in the references header. And lastly, if you want to find out to which post was the current article you're looking at references, use ^ that fetches the parent article.
These options are available on the Article menu option as you can see in the above screenshot.