If you google "blogger numbering comments" you soon end up on this page, or one linking to it (or one ripping it off).
It's simple and it works -- mostly. For threads of greater than 200 comments Blogger paginates, at which point the comment numbers start over from 1. But this is easily fixed.
Example of it in action.
UPDATE: If you're going to leave a comment complaining that this doesn't work for you, you might at least give the URL of your blog so that I can drop by and help you to fix it. Without proof to the contrary, I'm just going to assume that all of you anonymous commenters are incapable of simple cutting-n-pasting.