Inside wp-includes/comment.php you can find the function "get_comments" and the SQL request: "SELECT * FROM $wpdb->comments WHERE $post_where $approved ORDER BY $orderby $order $number". $orderby is a parameter of this function and since WordPress 2.7 you can set the sort order in the admin...
I am trying to change the ordering of the comments on my WordPress blog, so that it will show the newest comment on top. I tried it in the settings, but it didn't take effect...