Welcome to Android Central! Which phone, and which messaging app? Open the app, tap Menu>Settings, and look for a Group Messaging option that allows you to change from "mass text" to "group MMS" (or something similar).
This is a long standing issue. I had an android many years ago. It was a problem then. I have an iPhone now and when I message a group, one with an android, the android reply’s will often be in a single thread, sometimes I’ll receive the android replies in both the group thread and a single thread. Guess it’s a complicated issue to resolve.