By clicking the post title or the comments link the posts on the front page open on their own page where all comments display. The comments function is coded into the core of WordPress and we cannot change this. Unless you use P2, a twitter-like theme, comments are collapsed on the front page of your blog where our posts are "showcased".
The reason for this structure is that in a new blog one does not have many posts or comments. In an established blog if the comments did not collapse on the front page it would become a mile long in no time flat and page loading time is a page ranking factor. We have only seconds before visitors refuse to wait and click out.