I would, on the surface, challenge the thesis a little and ask: assuming you are writing about US culture, is it true that women don't, on paper, have equal rights with men? Or is it that, even supposedly having equal rights, women wish to be men because men still get a greater share of society's resources and power?
That being said, there are several ways to lead into a thesis statement as the last sentence of an opening paragraph. One way to start is with an anecdote (a snippet of a story) that captures the reader's attention. For example, you could say something like: "One day Mary discovered that her younger, less experienced male coworker John was hired at a higher salary than she was making after five years with the company. Mary suddenly wished . . ." (for this, I would find a real-life anecdote).
Or you could lead with some statistics about men in power: "X percentage of the Supreme Court is male, X percent of Congress is male, the US has never had a female president, and X percentage of CEOs of major companies are male. Is there any wonder that a woman might wish . . ."
Another tried and true method of capturing the reader's attention in an opening paragraph is description: you could place the reader in a scene using the five senses of sight, sound, taste, touch, and smell to show Mary doing the double shift of having to rush from work to pick up her children while John can hang around the office in a leisurely way building relationships that lead to a promotion . . . and end with your thesis statement.
A question or series of questions is also a good way to lead, if your instructor allows it. You could do a "How would you feel if . . ." series of queries.
I hope this helps. Personal story is what grabs readers. Best of luck!