Just to make sure, in the Comment box, you clicked on the "Settings" link and set the "Moderation Mode" to:
Let me approve each comment before it appears.
Is that correct? If so, then I'm not sure why the comments would be showing immediately.
If that's the case, can you let me know a Virtuemart page on your site that we can look at and post a test comment to see what's happening for us?
Thanks,
Alex