Here's how I would go about beginning this essay-
To start formulating a thesis for your essay, consider the following:
What do some of Shakespeare's female characters have in common? Is there one trait you have observed in multiple characters that you can discuss in your essay?
Are there two characters you can compare and/or contrast for your essay?
You could also consider arguing whether Shakespeare's women are weak or strong. You could discuss their relationships with other characters as well... an example could be whether they are manipulative or supportive of their husbands/significant others.
Once you have chosen a direction for your essay, you can choose characters to discuss within the essay. Here you will use 5 examples from Shakespeare's plays to support your assertions about his female characters.
You might also want to consult secondary sources for opinions about Shakespeare's female characters.