KJ,
Replies will always go to the bottom of the original thread, and as it grows, builds the history of the discussion.
You can start a new topic if you feel that the original thread has gone too far off track from the original, or can just try to wrangle it back in by posting replies back on the original subject matter. But if you decide to start a new thread topic, try to make a reference back (either by title or hyperlink) to the original thread so that newcomers aren't lost as to the history.
As for Instant Messenger, Nuttcaze did activate the ChatBox feature on the main page, which is pretty nice. The only drawbacks are that you have to manually log into it, and if you navigate away from the main page, there are no notifications that someone is chatting with you until you come back. (Not like regular IM that is in a pop-up window of it's own)
Private Messages (PM) are going to be pretty close, in that if the option is set, a pop-up window will open notifying you that you have a new PM whenever you change pages in the forum (which is usually pretty often if you are cruzing around). PMs also have an option that, if turned on, will generate an email also alerting you to a new message in your Forum Inbox.
Good Luck!