A thesis is a single declarative sentence (not a question) usually of twenty-five words or less, that expresses the main point of your paper. The thesis is usually written in a two-part structure, sometimes defined as the subject (what you are writing about) and your main point that you will prove about the subject - for example:
The death penalty should be abolished as it is a form of punishment that can be classified as barbaric by a civilized society.
In this sentence, the subject is the death penalty. The treatment is that it should be abolished as it is a form of punishment that can be classified as barbaric by a civilized society.
Sometimes, the thesis lays out the general structure of the paper. For example:
Talking on a cell phone while driving can lead to accidents, injuries, and even death.
In this essay the writer would first discuss accidents and the costs involved, then the injuries that can result from those accidents, and finally the fact that people have been killed as a result of these accidents.
The thesis generally appears at the start or the end of your introductory paragraph (or paragraphs in longer works) and is restated in a slightly reworded fashion in your conclusion.
Here is a GREAT handout that goes into more detail on thesis statements: