Stefan is referring to the View first unread post
icon, which looks like this...
First Unread Post.gif [ 175 Bytes | Viewed 837 times ]
Click that icon instead of the thread title to go directly to the first unread post on a particular thread.
(The icon isn't very self-explanatory, and it's small, so I bet a lot of people overlook it.)
You'll really benefit from this feature if you're not using it already!