In Drupal 7 you might have observed that when you enable the comments on any node at that time it also allows you to add the comments.
In each comment there is link to add the replay, but drupal doesn't provide any management to limit the depth/number of replay using interface or any module.
But we can customize using hook_preprocess_HOOK().
For comment display we have to create hook like themename_preprocess_comment() function in template.php file of theme.
After that we have to find the depth of the comment tree. You can find it using $variables['elements']['#comment']->depth variable.