By default, mail messages are grouped into "conversations" in Google Mail. For example, you send an email to me and then I reply; that becomes a conversation. Then, any replies after that get added to the conversation.
This is Google's way of un-cluttering your inbox.
You may not like this feature, however. There is a way to turn it off:
In Mail Settings (click the "gear" icon at the top right of your Google Mail window), under the General tab, find where it says "Conversation View" about halfway down. Click the radio button to turn this feature off, and then click Save Changes all the way at the bottom of the page.