This sounds as if you have been given a very general question without much direction on what you can focus on. This is unfortunate. Next time this happens I would recommend that you ask your teacher for more guidelines or ideas about which you could write about.
Anyway, to help you out, the best thing to do is to pick a central theme or message of the story and then use that to create a thesis statement. In this excellent tale of survival against the elements, clearly one of the central themes is the way that human beings are subject to natural forces beyond the control or ability to manipulate. The tale is a massive warning not to underestimate the power of nature, and the fate of the protagonist is an example of the dangers of doing precisely that. Consider how this theme is developed throughout the tale from the introduction of the protagonist (whom interestingly is not named--itself a symbol of man's insignificance in the face of nature):
[The temperature] did not lead him to meditate upon his frailty as a creature of temperature, and upon man's frailty in general, able only to live within certain narrow limits of heat and cold, and from there on it did not lead him to the conjectural field of immortality and man's place in the universe.
Throughout the tale the wisdom of the dog is contrasted with the hubris or arrogance of the man, who feels that he is lord of nature and goes into the wild without a thought for his own personal safety. It is this lack of healthy respect for nature, as expressed by the old-timer at Sulphur Creek, who represents a man who respects and recognises the raw, elemental power of nature. Failure to respect nature, is synonymous with putting your own life in danger and potential death.
Hopefully these ideas will give you a basis to think about a thesis statement and help you to plan your essay. Good luck, and I hope you enjoy this great tale!