Acceptance of HTML tags in the comments field is managed in the file kses.php, located in the wp-includes folder.

Open this file in a text editor, and locate the list of HTML tags near the top of the file. Each HTML tag is listed on a separate line, in the construction of a PHP array of allowed tags. Lines which begin with // are commented-out, or disabled, so lines which begin with // designate HTML tags that are not allowed in comments.

To stop people from posting HTML in comments, edit your kses.php file as desired to allow or disallow specific HTML tags in comments, by adding // to the very beginning of the appropriate lines of the list. To exclude all HTML tags, comment out all lines which allow HTML tags. Be sure to save your file when done.

Note that while you could simply delete the lines instead of commentng them out, by adding // at the start of the line you achieve the same result, while preserving the list of tags for possible re-enabling at a later date.