I don't know if all theme's do it like this, but in WordPress's twentyeleven and twentytwelve this is done by a function in functions.php.
You can find back which function that is in comments.php . In comments.php look for something like this (example from twentytwelve theme):
<?php if ( have_comments() ) : ?>
<?php wp_list_comments( array( 'callback' => 'twentytwelve_comment', 'style' => 'ol' ) ); ?>
<!-- .commentlist -->
The callback variable in wp_list_comments points to the function displaying each comment. So in this case you would see 'twentytwelve_comment' is the callback function and you search for that function in functions.php.
If you can't figure it out just post the theme you're using here and I'll take a look for u.