First, it is important that you understand what "lesson" the title refers to. The narrator, Sylvia, says that one summer day, Miss Moore takes them down the street. Her teacher bores them "silly" with talk about how much things cost.She makes points about how much goes to rent, and "how money ain't divided up right in this country."
Miss Moore takes the children to the famous F.A.O. Schwartz toy store and allows them to see the incredibly expensive toys, like the sailboat that costs more than a thousand dollars. Sylvia's friend, Sugar, says that
this is not much of a democracy if you ask me. Equal chance to pursue happiness means an equal crack at the dough, don't it?
Sylvia sees then that Miss Moore is "besides herself" with apparent happiness at Sugar's realization. This, then, seems to be the lesson that she has hoped the children would learn. Miss Moore gave them the opportunity to feel out of place. From that feeling, they could recognize the injustice of the world in which they had to live. They learn that the world is not fair, and that it will be even less fair to them because of their race and socioeconomic status. They experience, on a small scale, the terrible injustice of this. Even Sylvia gets angry, though she doesn't really know why.
When beginning an essay, you ought to introduce the story, author, and subject, and finish your introduction with a thesis statement that makes some claim that you can support with evidence from the text. It should be a statement of opinion rather than a statement of fact. I suggest that you craft such a claim about the lesson itself, the moral of Miss Moore evidently wants the children to learn from their trip. Then you can begin to support it with textual evidence like the quotations I've supplied above.