I think that this is a really hard question to pose. Given that your teacher is wanting something personal from you, it would be difficult (if not impossible) for another person to create a thesis statement which speaks to you--someone unknown to them.
That being said, a thesis statement (or topic sentence) is a sentence which introduces the topic of an essay (or paragraph). What your teacher is needing for this assignment is a sentence which describes three reasons why your most embarrassing moment was your most embarrassing moment.
Therefore, say your most embarrassing moment was walking out of your bedroom to grab something to eat and your brother's friends were over. You have no make-up on, your hair is in a towel, and your shirt has holes in it.
The topic sentence would look something like this: My most embarrassing moment happened when I walked out of my bedroom with no make-up, a towel on my head, and ratty clothes on only to find my brother and his friends staring at me.
If you have never had any embarrassing moments, make one up. Think about something that would embarrass you and simply create a moment.