probably a 3rd party app that they are using. i doubt you can set it from your phone with the native SMS. give crunchSMS a try. its threaded, allows you to type longer than 160 characters and looks like the iphone sms
or, when you hit 160 characters, you hit enter, and keep typing... brilliant.
of course this doesnt work for sending mass texts to multiple people, but seriously, is it too hard to hit enter now that the txt is threaded... it used to be more annoying, but now it cant get any easier