By default, Drupal is configured to force anonymous users to preview their comments before posting them. To enable users to post without previewing their comment, you might think you'd access:
Administer > Content Management > Content Settings > Post Settings
In Drupal 6, the comment preview settings are tied to each content type. Visit:
Administer > Content Management > Content Types at admin/content/types
Select 'edit' next to the content type. For the 'page' content type, you'll end up at:
Scroll down to 'comment settings' and change 'preview comment' from Required to Optional. Then click 'Save content type.'