Course where he caddies—notably, as wealthy and prominent as Mortimer Jones—then he will be happy. His pursuit of Judy Jones, Mortimer's daughter, is largely motivated by his class ambitions. Notice how, in the story, Judy is often described as golden. At one point in the story, she is wearing gold. She is an object that Dexter covets in his effort to be a member of the nation's elite.

His ambition leads him to attend an Ivy League school on the East Coast, despite having been accepted to a business program at the University of Minnesota. He moves to New York for the same reason. When his business associate, Devlin, informs him of Judy's life in Detroit, Dexter is seized with a desire to go to Detroit and rescue her, then realizes that it would be for naught.

When Dexter watches the sun set from his office, Fitzgerald again references the pink and gold colors that have been used to describe Judy and the summer skies in Minnesota during Dexter's youth. While the sun sets, Dexter realizes that his winter dreams have "evaporated" and that the gates of the country club are forever closed. He can never return physically or in his memory. Throughout the story, Dexter has returned home and resumed his relationship with Judy multiple times, just as he has always returned to his "winter dreams" of summers at the golf course. In his office, when he realizes that he can never go back, he feels that he has lost something, but he does not know what it is and cannot bring himself to care.

What is ironic about this ending is that Dexter has achieved the class status he always wanted. However, without Judy, he never quite felt like a success. She, in his mind, was the prize that he coveted, but could never win—proof of his prestige. Fitzgerald often used upper-class women as emblems of success, desired by ambitious young men from lower-class backgrounds in his stories and novels. He uses this theme most notably in The Great Gatsbyin regard to Gatsby's love for Daisy Buchanan.

A critical thesis statement for "Winter Dreams" might be "Dexter's dreams die quickly when exposed to reality." When he is growing up, he develops dreams of "ecstatic triumph" during the winter months when he is not caddying on the golf course, and he tries to put these dreams of triumph into effect as a young adult.

He foregoes attending the business course at the local college in favor of the "precarious advantage" of attending a prestigious college in the east. Later, after establishing a successful laundry, he becomes engaged to a "sweet and honorable girl" named Irene, who he tosses over in favor of the alluring and glamorous Judy Jones. In the end, his dream of possessing Judy Jones evaporates, and, years later, he finds out that she is married to someone who treats her cruelly. Dexter's dreams have been destroyed. As Fitzgerald writes, "The dream was gone. Something had been taken from him...Why, these things were no longer in the world! They had existed and they existed no longer." In the face of reality, Dexter can no longer have faith in the dream that wealth and beauty will make him happy. He finds that he can't even grieve and that his "winter dreams" are a thing of the distant past. 

I think that much of this question would be dependent on what you were able to take from the work.  I think that you have to go back to the text and identify what elements were the most prominent in your mind.  For example, what statements or observations can you make about the relationship between Judy and Dexter?  What does this show?  What might this reflect about society?  At the same time, what do you take away about Dexter?  At the end, when Dexter talks about "That thing will come back no more," to what do you think he is referring?  These are merely starting points.  In the end, a thesis statement is best conceived, analyzed, and addressed when the writer finds something to which there is connection and resonance.