The thematic analysis of a film isn't as complicated as it sounds. Let's just look at the two parts to this, shall we?
Thematic: the subject of a piece of film (what is the movie about? What was the point of the author writing it and what do you come away from the movie with?)
Analysis: a detailed examination of elements (looking at something closely to see how it ticks.)
So, in essence, if you have to make a "thematic analysis" of a movie you are trying to figure out what the movie is about by providing some evidence from the plot. I suppose the first step would be to choose an appropriate film to do your analysis of. If you are just starting out in practicing this type of thing, I would try to choose a film that has a clear "message" to it. For example, think about the movie "Rocky." When you watch Rocky, what feelings do you walk away with? Well, Rocky is a film about not giving up, about overcoming your station in life, about the value of hard work...you get the idea. All of those are themes you could write about in an analysis just by providing some examples to back them up.
Well, hope this helped!