A thesis statement is meant to state your main argument and the points you will use to support that argument. There are many specific ideas you could write a thesis statement about for "The Necklace," and then you need to add your supporting points. For example, one idea that the story supports is that the necklace is a symbol of not being satisfied with what one has in life. Another is that the story shows how dishonesty can ruin lives. Still another idea is that "The Necklace" can be nicely compared and contrasted with the story of Cinderella.
Once you settle on your particular idea, you will need to add your supporting points. The idea that dishonesty can ruin lives might turn into a thesis statement like this:
In "The Necklace," Madame Loisel, her husband, and her friend are all dishonest in some way, and this leads the Loisels to years of backbreaking work and dishonor.
Once you have your thesis statement, you can use it as an outline for the body paragraphs. In my example above, I would have first a body paragraph about Madame Loisel's dishonesty, then a body paragraph about Monsieur Loisel's dishonesty, and finally a body paragraph about the friend's dishonesty. In your conclusion, you will remind your reader what your thesis is and give the reader a brief review of your supporting points. This is a great story to write about, with much meaning that you can share with your readers.