Say you joined a mailing list just to jump onto a specific mail thread that someone brought to your attention. To have your mail join the thread seamlessly (in a way many mail clients support) you need

1. the mail's subject
2. the message id of the parent to attach to
3. a mail client allowing to add headers In-Reply-To and References.

The message ID header is easy to find once you have mail headers at hand:

Message-ID: <foo123@example.org>

If you#re lucky you get them from a mail archive or a friend who's subscribed already. Now a child of that mail would carry these headers:

In-Reply-To: <foo123@example.org>
References: <foo123@example.org>

If you're using Thunderbird, you can make it show headers In-Reply-To and References for selection in the mail composition window. All you need to do is open the advanced config GUI editor (sometimes called about:config, Menu > Edit > Preferences > Advanced > Config Editor ...), select field mail.compose.other.header and set it to In-Reply-To,References. I learned about that field myself from here. If you have updates on this procedure, please comment below. Thanks!