This plugin makes a widget available which allows you to list the most recent comments to your blog, along with a short excerpt from the comment.
Install this plugin in the usual way, by downloading and unzipping the folder into your plugins directory (/wp-content/plugins).
The plugin then needs to be activated before it can be used.
To use, simply drag the 'Quoted Recent Comments' widget into a sidebar. To use the widget, your theme must be widget-enabled.