I've got the same problem; at my PC the issue is that the script will not install. Check in the Greasemonkey's "Manage User Scripts..." page whether Wei_Dai's script is there at all.
(edit) I had to use "New User Script...", and then copied the source, for Greasemonkey to accept it at all. Now the script actually shows as active on the URL, though it still does not work, for whatever reason.
I posted this script previously to Open Thread, but it got broken by the discussion/main split-up and also didn't work in Firefox 4. It's now updated and fixed for Firefox 4. The original description follows. See the previous thread for some additional questions and answers. (ETA: Firefox 4 seems to have made the script much faster, so try it again if you were previously put off by the slowness.)
For those who may be having trouble keeping up with "Recent Comments" or finding the interface a bit plain, I've written a Greasemonkey script to make it easier/prettier. Here is a screenshot.
Explanation of features:
To install, first get Greasemonkey, then click here. Once that's done, use this link to get to the reader interface.
I've placed the script is in the public domain. EDIT: Chrome is supported as of version 1.0.5 of the script.
On a related note, here is a way to view all posts and comments of a particular LW user as a single HTML page.
EDIT - Version History: