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It's not where you would think it would be. The forum (assuming newBB) uses the system 'Comments Display Mode' configuration option for 'Flat' or 'Threaded'.
In the admin section 'System' -> 'Edit User', you can change it for each user individually. Look for the 'Comments Display Mode' option.
You can also change your own user setting (as can each individual user) quicker, in the 'Edit Account' on the home page (that is if you've given yourself access to it).
One more spot. If you want to change the default for new users. In 'System' -> 'Preferences' -> 'General Settings', you can change the 'Default Comment Display Mode' option to whatever you want new users to default to when viewing the forum.
Note, newbb does not have a 'Nested' view, if it sees 'Nested' it will assume 'Threaded'.