What this quote, the final words of the play, literally means is that there was never a sadder story than that of Romeo and Juliet. The Prince speaks the quote after having heard the Nurse's and Friar Laurence's accounts of what had happened, and though the Capulets and Montagues are reconciled, he is still struck by its sadness. One way you could write a prompt on this quote would be to simply defend it, or provide examples of it, from the text. What I think makes Romeo and Juliet such a sad story is its dramatic irony. The Chorus tells us at the beginning of the play that the two lovers will not survive their affair, that they are "star-cross'd," or doomed by fate. This makes their every encounter, and the hope and love that they feel for each other, all the more poignant, because even as they plan to overcome their families' mutual enmity, we know all of their efforts will be in vain. So you could focus on incidents in the play that seem to lead inexorably to the final tragedy--the fight between Tybalt and Romeo in the streets, Romeo's banishment to Mantua, and the failure of Friar John to deliver Laurence's letter to Romeo there explaining his plan. These events show that the two lovers really are "star-cross'd," and that their story truly is full of woe.