A thesis statement is basically the topic of your paper, a statement of your opinion and what you intend to prove or discuss in the essay. Ordinarily, we're taught that the thesis statement should be the last sentence of the introduce. However, Thoreau did not follow this advice in his essay "Civil Disobedience." You might say that the very first sentence tells us what Thoreau believes and intends to write about. I think, though, that the next to last sentence in the introduction is his thesis:
If I were grading Thoreau's essay, I might write in the margin that his last sentence should begin a new paragraph.
See the postings in the Essay Lab group for more help with writing a thesis statement.
I'm not sure to which essay you are referring, but the thesis statement is the sentence that sums up what your entire essay is about. You usually can find it at the end of the introduction and in the conclusion. For example, in an essay about the American Civil War, the thesis statement could be, "The main cause of the American civil war was the Union's non-recognition of the Southern states right to keep slaves."
The thesis is unclear becuase he is does not really prove one single point in this essay, but if there was he were to write a thesis it would have probably been something about the evils of government and the importance ong nonconformity.