In a thesis essay, the writer typically makes a claim and then supports it with evidence. The thesis statement appears in the first paragraph of the essay and states the writer's claim along with a brief summary of how he will support it within the paper.
A thesis statement acts as a "road map" to explain to the reader how the writer will address a specific question or issue. It should make clear the writer's position while showing that the issue is one which people could debate. By keeping the thesis statement specific and focused, the writer has a better chance of proving his case within the remainder of the essay.
A persuasive piece of writing must address an issue on which there is reasonable disagreement. The writer should have a clear idea of what the opposing viewpoint is and how it is argued, and then address why he disagrees or feels his stance is more justified. The essay must stick to the topic at hand and provide relevant arguments and evidence for that topic.
There are sample thesis statements and further explanation of thesis papers available at Purdue University's online writing lab and at the University of North Carolina's writing center website.