For anyone that have the same problem with the sequence of the posts.

I could not find 'Thread Display Options' at the bottom of this page.
So i hopped to my profile to re-check if I could find it now, but that was also not a option, then I wanted to pm somebody.

1. At the actual pm messenger page.
2. I saw at the left side of the screen the box called 'My Account'
(It was the third box) in blue letters 'general settings'
When I clicked on that I was directed to a page
3.That had the 'Thread Display Options' (it was around at 50% of the page)
It got a four settings to choose from
Linear - oldest first, Linear - Newest first, Hybrid and Threaded.
4. I selected 'Linear - Oldest first' and scrolled down and clicked save.