List recent comments from all posts

are you familiar with page templates?
http://codex.wordpress.org/Pages

get_comments()
http://codex.wordpress.org/Function_Reference/get_comments

also, the code of the ‘recent comments widget’ is in /wp-includes/default-widgets.php about line 620;
the essential code there is:

$comments = get_comments( apply_filters( 'widget_comments_args', array( 'number' => $number, 'status' => 'approve', 'post_status' => 'publish' ) ) );
		$output .= '<ul id="recentcomments">';
		if ( $comments ) {
			foreach ( (array) $comments as $comment) {
				$output .=  '<li class="recentcomments">' . /* translators: comments widget: 1: comment author, 2: post link */ sprintf(_x('%1$s on %2$s', 'widgets'), get_comment_author_link(), '<a href="' . esc_url( get_comment_link($comment->comment_ID) ) . '">' . get_the_title($comment->comment_post_ID) . '</a>') . '</li>';
			}
 		}
		$output .= '</ul>';

hope this helps 😉